PIOS.fun: Calculation of PIOS test statistic

In michellezhou2009/IRtests: Information ratio test and pseudo "in-and-out-of-sample" likelihood ratio test

Calculation of PIOS test statistic

Description

Given the data and copula family, calculate the PIOS test statistic.

Usage

PIOS.fun(u1, u2, d1, d2, copula.fam, yes.exact = F)

Arguments

u1	a vector, the first pseudo-observations
u2	a vector, the second pseudo-observations
d1	a vector of indicators whether each observation in the first response is fully observed: 1 indicates the observation is fully observed, and 0 indicates the observation is censored
d2	a vector of indicators whether each observation in the second response is fully observed: 1 indicates the observation is fully observed, and 0 indicates the observation is censored
copula.fam	a character indicating which one of the following copula families: "clayton", "frank", "gumbel", and "normal"
yes.exact	a logical value indicating whether to calculate the exact test statistic; if yes.exact=FALSE (default value), the approximate test statistic is calculated.

Value

a list of the following components: theta.est, the PMLE of the copula parameter, and PIOS, PIOS exact test statistic if yes.exact=TRUE or PIOS approximate test statistic if yes.exact=FALSE (default).

michellezhou2009/IRtests documentation built on Aug. 19, 2023, 11:24 p.m.