cpCopMultStatsBKRSSeq

This function is used to compute bootstrapped statistics from the BKRS process in the sequential case

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

cpCopMultStatsBKRSSeq function

<dl><dt>U</dt>
<dd>matrix needed for multipliers</dd>
<dt>grad</dt>
<dd>gradient of the copula</dd>
<dt>xi</dt>
<dd>multipliers</dd>
<dt>n</dt>
<dd>length of the series</dd>
<dt>d</dt>
<dd>number of variables</dd></dl>

Arguments

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

Author

Function to compute the statistics for the BKRS process — cpCopMultStatsBKRSSeq

<dl>

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


<dt>grad</dt>
<dd>gradient of the copula</dd>


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


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


<dt>d</dt>
<dd>number of variables</dd>

</dl>

cpCopMultStatsBKRSSeq: Function to compute the statistics for the BKRS process

Description

Usage

Value

Arguments

Author