SimQunats: Simulated quantiles of the limit for simplicial depth based...
In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description Usage Details Value Author(s) References See Also Examples

Approximated quantiles of the limit process for simplicial depth based on alternating residuals in case of two dimensional parameters. The statistic is proposed in Kustosz, Leucht and Mueller (2016), where the limit distribution is derived, also.

SimQuants

The function just defines a 2 column matrix including probabilities and quantiles from the simulated limit distribution of dS. The quantiles are calculated at an accuracy of 3 digits . Remarks on the acutal approximation are given in Kustosz (2016).

The resulting value is a matrix including probabilities in the first column and respective quantiles in the second. The function is used by the dS_lin2_test.

Kustosz, Christoph

Kustosz, C. (2016). Depth based estimators and tests for autoregressive processes with application. Ph. D. thesis. TU Dortmund.

Kustosz C., Leucht A. and Mueller Ch. H. (2016). Tests based on simplicial depth for AR(1) models with explosion. Journal of Time Series Analysis. In press.

dS_lin2_test