KuiperTestStat: Plots cummulative density for Kuiper test and computes...

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Kuiper test statistic is a non parametric test for distribution equality and is closely related to KS test. Formally, the Kuiper test statistic is :

D*=\max_i\{F(X_i)-\hat{F(x_i)}+\max_i\{\hat{F}(X_i)-F(X_i)\}

Usage

KuiperTestStat(number.trials, sample.size, confidence.interval)

Arguments

number.trials	Number of trials
sample.size	Sizes of the trial samples
confidence.interval	Confidence interval expressed as a fraction of 1

Value

Confidence Interval for KS test stat

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Plots the cdf for Kuiper Test statistic and returns Kuiper confidence
   # interval for 100 trials with 1000 sample size and 0.95 confidence
   # interval.
   KuiperTestStat(100, 1000, 0.95)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0.02480146 0.05463396

Dowd documentation built on May 2, 2019, 6:15 p.m.