bispectral_MDtest: Bispectral MD test

In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions

Bispectral MD test

Description

Bispectral MD test

Usage

bispectral_MDtest(bikernel, CVT, PIT, h_list = NULL,
  informationH = "none", singular_Sigma_NA = FALSE)

Arguments

CVT	list describing lag structure for each kernel
PIT	Vector of probability integral transform values
h_list	If provided, then use instead of calling h_closure.
informationH	(string). Specifies information to incorporate in H.
singular_Sigma_NA	(boolean). If true, then set p-value to NA when Sigma is singular.
kernlist	(list) bi-kernel object (see package help)

Value

p-value of chisq test.

ajmcneil/spectralBacktest documentation built on Dec. 31, 2022, 8:17 p.m.