qvals: Quantiles of the limit distribution of simplicial depth for...
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.

qvals

The function just defines a vector including quantiles from the simulated limit distribution of dS. The quantiles are calculated at a accuracy of 3 digits. Remarks on the approximation can also be found in Kustosz (2016).

The resulting value is a vector including quantiles . The function is used by the dS_lin2_test() function indirectly.

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