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pvar (version 2.2.7)

PvarQuantile: Quantiles and probabilities of p-variation

Description

The distribution of p-variation of BridgeT(x) depends on n=length(x). This fact is important for getting appropriate quantiles (or p-value). These functions helps to deal with it.

Usage

PvarQuantile(n, prob = c(0.9, 0.95, 0.99), DF = PvarQuantileDF)

PvarPvalue(n, stat, DF = PvarQuantileDF)

getMean(n, bMean = MeanCoef)

getSd(n, bSd = SdCoef)

NormalisePvar(x, n, bMean = MeanCoef, bSd = SdCoef)

Value

Functions PvarQuantile and PvarPvalue returns a corresponding value quantile or the probability. Functions getMean and getSd returns a corresponding value of mean and sd statistics. Function NormalisePvar returns normalize values.

Arguments

n

a positive integer indicating the length of data vector.

prob

cumulative probabilities of p-variation distribution.

DF

a data.frame that links prob and stat .

stat

a vector of p-variation statistics.

bMean

a coefficient vector that defines a function of the mean of p-variation.

bSd

a coefficient vector that defines a function of the standard deviation of p-variation.

x

a numeric vector of data values.

Details

The distribution of p-variance is form Monte-Carlo simulation based on 140 millions iterations. The data frame PvarQuantileDF saves the results of Monte-Carlo simulation.

Meanwhile, MeanCoef and SdCoef defines the coefficients of functional form (conditional on n) of mean and sd statistics.

A functional form of mean and sd statistics are the same, namely $$ f(n) = b_1 + b_2 n^b_2 . $$

The coefficients \((b_1, b_2, b_3)\) are saved in vectors MeanCoef and SdCoef. Those vectors are estimated with nls function form Monte-Carlo simulation.

See Also

PvarBreakTest, PvarQuantileDF, NormalisePvar, getMean, getSd