NHMSAR (version 1.1)

test.model.vect.MSAR: Performs bootstrap statistical tests on covariance to validate MSVAR models.

Description

Performs bootstrap statistical on covariance to validate MSVAR models.

Usage

test.model.vect.MSAR(data,simu,lag=NULL)

Arguments

data

observed (or reference) time series, array of dimension T*N.samples*d

simu

simulated time series, array of dimension T*N.sim*d. N.sim have to be K*N.samples with K large enough (for instance, K=100)

lag

to be considered (usefull for state space models)

Value

• Returns a list including
• Cvect
  statistics of covariance
• ..$dd
  test statistic
• ..$q.dd
  quantiles .05 and .95 of the distribution of the test statistic underthe null hypothesis
• ..$p.value
  p value

Details

Test statistics $$S = || C_n-C ||$$

See Also

valid_all, test.model.MSAR