multiplierDSeqfun {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
multiplierDSeqfun(U, grad, n, d)
Arguments
U |
matrix needed for multipliers |
grad |
gradient of the copula |
n |
length of the series |
d |
number of variables. |
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
Nasri, B. R. Remillard, B., & Bahraoui, T. (2022).
[Package changepointTests version 0.1.7 Index]