cpCopMultStats

This function compute bootstrapped multipliers values for the Cramer-von Mises and Kolmogorov-Smirnov test statistics for changepoint

internal

Change point tests for joint distributions and copulas using pseudo-observations with multipliers or bootstrap. The processes used here have been defined in Bucher, Kojadinovic, Rohmer & Segers <doi:10.1016/j.jmva.2014.07.012> and Nasri & Remillard <doi:10.1016/j.jmva.2019.03.002>.

Bruno Remillard

changepointTests

Change Point Tests for Joint Distributions and Copulas

cpCopMultStats function

<dl><dt>MC</dt>
<dd>matrix needed for multipliers</dd>
<dt>xi</dt>
<dd>multipliers</dd>
<dt>s</dt>
<dd>sequence of normalized values in (0,1)</dd>
<dt>n</dt>
<dd>length of the series</dd></dl>

Arguments

Bouchra R Nasri and Bruno N Remillard, August 6, 2020

Author

Function to compute bootstrapped changepoint statistics — cpCopMultStats

<dl>

<dt>MC</dt>
<dd>matrix needed for multipliers</dd>


<dt>xi</dt>
<dd>multipliers</dd>


<dt>s</dt>
<dd>sequence of normalized values in (0,1)</dd>


<dt>n</dt>
<dd>length of the series</dd>

</dl>

cpCopMultStats: Function to compute bootstrapped changepoint statistics

Description

Usage

Value

Arguments

Author