multiplierfun {changepointTests} | R Documentation |
Function to perform multiplier bootstrap for changepoint
Description
This function simulates a random sample of Gaussian multipliers null hypothesis of a Gaussian HMM and compute the Cramer-von Mises and Kolmogorov-Smirnov test statistics.
Usage
multiplierfun(MC, s, n)
Arguments
MC |
n x n matrix = MM - C, with MM[i,j] = 1(Xi <= Xj) and C=mean(M[,j]); |
n |
length of the series. |
Value
cvm |
simulated value of the Cramer-von Mises statistic |
ks |
simulated value of the Kolmogorov-Smirnov statistic |
Author(s)
Bouchra R Nasri and Bruno N Remillard, August 6, 2020
References
Chapter 8 of B. Remillard (2013). Statistical Methods for Financial Engineering, Chapman and Hall/CRC Financial Mathematics Series, Taylor & Francis.
[Package changepointTests version 0.1.5 Index]