spectral_MDtest: Spectral MD test

In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions

Spectral MD test

Description

Spectral MD test

Usage

spectral_MDtest(kernel, CVT, PIT, h_list = NULL, informationH = "none",
  singular_Sigma_NA = FALSE)

Arguments

kernel	(list) kernel object (see package help)
CVT	(list) CVT object (see package help)
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.

Value

p-value of chisq test.

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