NHMSAR (version 1.4)

test.model.vect.MSAR:

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