Description Usage Arguments Value Author(s) References

View source: R/multiplierfun.R

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.

1 | ```
multiplierfun(MC, s, n)
``` |

`MC` |
n x n matrix = MM - C, with MM[i,j] = 1(Xi <= Xj) and C=mean(M[,j]); |

`n` |
length of the series. |

`cvm` |
simulated value of the Cramer-von Mises statistic |

`ks` |
simulated value of the Kolmogorov-Smirnov statistic |

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

Chapter 8 of B. Remillard (2013). Statistical Methods for Financial Engineering, Chapman and Hall/CRC Financial Mathematics Series, Taylor & Francis.

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