multiplierfun

This function simulates a random sample of Gaussian multipliers null hypothesis of a Gaussian HMM
and compute the Cramer-von Mises and Kolmogorov-Smirnov test statistics.

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

multiplierfun function

<dl><dt>MC</dt>
<dd>n x n matrix = MM - C, with MM[i,j] = 1(Xi &lt;= Xj) and C=mean(M[,j]);</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 perform multiplier bootstrap for changepoint — multiplierfun

<dl>

<dt>MC</dt>
<dd>n x n matrix = MM - C, with MM[i,j] = 1(Xi &lt;= Xj) and C=mean(M[,j]);</dd>


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

</dl>

multiplierfun: Function to perform multiplier bootstrap for changepoint

Description

Usage

Value

Arguments

Author

References