CVT_twotail: Two-sided tail MD-lag function
In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions
View source: R/martingaleDifference.R
CVT_twotail R Documentation
Two-sided tail MD-lag function
Description
Indicator for abs(2 P-1) > abs(2*level-1)
h(P) scaled to have mean 0, variance 1 when P uniform
Usage
CVT_twotail(param = 0.99)
Arguments
param
level for exceedance indicator
Value
h(P) MD-lag function
ajmcneil/spectralBacktest documentation built on Dec. 31, 2022, 8:17 p.m.
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View source: R/martingaleDifference.R
| CVT_twotail | R Documentation |
Two-sided tail MD-lag function
Description
Indicator for abs(2 P-1) > abs(2*level-1) h(P) scaled to have mean 0, variance 1 when P uniform
Usage
CVT_twotail(param = 0.99)
Arguments
param |
level for exceedance indicator |
Value
h(P) MD-lag function
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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