Description Usage Arguments Details Value Examples
This function computes the Rényi-type statistic.
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dat |
The data vector |
kn |
A function corresponding to the trimming parameter t_T; by default, the square root function |
estimate |
Set to |
use_kernel_var |
Set to |
custom_var |
Can be a vector the same length as |
kernel |
If character, the identifier of the kernel function as used in
cointReg (see |
bandwidth |
If character, the identifier for how to compute the
bandwidth as defined in cointReg (see
|
get_all_vals |
If |
The definition of the statistic is
\max_{t_T ≤q t ≤q T - t_T} \hat{σ}_{t,T}^{-1} ≤ft|t^{-1}∑_{s = 1}^{t}X_s - (T - t)^{-1}∑_{s = t + 1}^{T} X_s \right|
The parameter kn
corresponds to the trimming parameter t_T.
If both estimate
and get_all_vals
are FALSE
, the
value of the test statistic; otherwise, a list that contains the test
statistic and the other values requested (if both are TRUE
,
the test statistic is in the first position and the estimated change
point in the second)
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