This function computes the Cramér-von Mises statistic Sn for goodness-of-fit of the null hypothesis of a univariate uniform distrubtion over [0,1]

Inference, goodness-of-fit test, and prediction densities and intervals for univariate Gaussian Hidden Markov Models (HMM). The goodness-of-fit is based on a Cramer-von Mises statistic and uses parametric bootstrap to estimate the p-value. The description of the methodology is taken from Chapter 10.2 of Remillard (2013) <doi:10.1201/b14285>.

Bouchra Nasri

GaussianHMM1d

Inference, Goodness-of-Fit and Forecast for Univariate Gaussian
Hidden Markov Models

Sn function

<dl><dt>U</dt>
<dd>vector of pseudos-observations (apprimating uniform variates)</dd></dl>

Arguments

Bouchra R Nasri and Bruno N Rémillard, January 31, 2019

Author

Cramer-von Mises statistic for goodness-of-fit of the null hypothesis of a univariate uniform distrubtion over [0,1] — Sn

<dl>

<dt>U</dt>
<dd>vector of pseudos-observations (apprimating uniform variates)</dd>

</dl>

Sn: Cramer-von Mises statistic for goodness-of-fit of the null hypothesis of a univariate uniform distrubtion over [0,1]

Description

Usage

Value

Arguments

Author