validateRS (version 1.0.0)

power.target.Nclasses: Compute the alternative hypothesis' PDs by increasing the PDs under the null hypothesis towards 1.

Description

Compute the alternative hypothesis' PDs by increasing the PDs under the null hypothesis towards 1.

One can either increase all the PDs (i.e. altenative H1A in the ECB Working series' paper) or one at a time (scenario H1B).

The alternative hypothesis H1C can be computed using sample.knowledge.H1.

Usage

power.target.Nclasses(p.0, size, N , target = 0.5, alpha = 0.05, precision = 1e-07)

Arguments

p.0

A Vector with the PD values under H0

size

A Vector with the size of the rating classes

N

The number of PDs in which H1 should be different from the PDs under H0. For the alternative hypothesis H1A of the ECB Working paper, N should be set to length(p.0), for the alternative hypothesis H1B N should be 1.

target

The target power for the benchmark test

alpha

The significance level chosen

precision

The precision for the PDs under H1

Value

See Also

sample.knowledge.H1

Examples

data(ratingData)

p.0<-ratingData$p.0
sizes<-ratingData$sizes

h1A<-power.target.Nclasses(p.0=p.0, size=sizes[1,], N=length(p.0), 
                                 target=0.50)
h1A                                 

h1B<-power.target.Nclasses(p.0=p.0, size=sizes[,], N=1, 
                                 target=0.30)
h1B