bootstrap_gof_test

Handles the bootstrap computation and the bootstrapped p-value.

internal

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

Time Series Analysis Tools

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

bootstrap_gof_test function

<dl><dt>obj_value</dt>
<dd>A <code>double</code> that contains the optimized objective function value.</dd>
<dt>bs_obj_values</dt>
<dd>A <code>vec</code> that contains the objective function values under bootstrap.</dd>
<dt>alpha</dt>
<dd>A <code>double</code> that indicates the confidence.</dd>
<dt>bs_gof_p_ci</dt>
<dd>A <code>bool</code> that indicates whether CIs should be included or not.</dd></dl>

Arguments

Compute the Bootstrapped GoF Test — bootstrap_gof_test

<dl>

<dt>obj_value</dt>
<dd>A <code>double</code> that contains the optimized objective function value.</dd>


<dt>bs_obj_values</dt>
<dd>A <code>vec</code> that contains the objective function values under bootstrap.</dd>


<dt>alpha</dt>
<dd>A <code>double</code> that indicates the confidence.</dd>


<dt>bs_gof_p_ci</dt>
<dd>A <code>bool</code> that indicates whether CIs should be included or not.</dd>

</dl>

Compute the Bootstrapped GoF Test

bootstrap_gof_test: Compute the Bootstrapped GoF Test

Description

Usage

Value

Arguments