test_kupiec: Binomial Test (Kupiec Test/Frequency-of-tail-losses Test)
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Kupiec test carries out the binomial backtest for a VaR
risk measurement model, for specified VaR confidenve level,
for a one sided hypothesis test.
Usage
1
test_kupiec(x, n, conf)
Arguments
x
the number of tail losses
n
the number of observations
conf
the level of confidence
Value
probability model is correct (numeric)
dandermotj/mmr documentation built on June 4, 2019, 9:26 p.m.
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Description Usage Arguments Value
Description
Kupiec test carries out the binomial backtest for a VaR risk measurement model, for specified VaR confidenve level, for a one sided hypothesis test.
Usage
1 | test_kupiec(x, n, conf)
|
Arguments
x |
the number of tail losses |
n |
the number of observations |
conf |
the level of confidence |
Value
probability model is correct (numeric)
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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