instabilityQuantile: instabilityQuantile

In instabilityTest: Testing Markov chain instability after simulation

Description

Calculation of a quantile with given parameters for a random variable stochastically dominating over a Markov chain.

Usage

instabilityQuantile(alpha, w, fi, delta, sigma, kappa, a, b, k)

Arguments

alpha	the significance level.
w	initial state of Markov chain.
fi	upper estimate for the absolute value of Markov chain increment in one step.
delta	the downward drift that a process must exhibit in order to be stable.
sigma	the lower estimate for the number of steps.
kappa	the lower estimate for initial state.
a	a parameter for time calculation. Time is calculated by a formula: a*(X_i-1)+b.
b	b parameter for time calculation. Time is calculated by a formula: a*(X_i-1)+b.
k	number of steps to select a new point.

Value

Quantile with given parameters

instabilityTest documentation built on Sept. 13, 2021, 3 p.m.