Darling-Erdös Statistic Simulation
Simulates multiple realizations of the Darling-Erdös statistic.
sim_de_stat(size, a = log, b = log, use_kernel_var = FALSE, kernel = "ba", bandwidth = "and", n = 500, gen_func = rnorm, args = NULL, parallel = FALSE)
size |
Number of realizations to simulate |
a |
The function that will be composed wit l(x) = (2 \log(x))^{1/2} |
b |
The function that will be composed with u(x) = 2 \log(x) + \frac{1}{2} \log(\log(x)) - \frac{1}{2}\log(pi) |
use_kernel_var |
Set to |
kernel |
If character, the identifier of the kernel function as used in
the cointReg (see documentation for
|
bandwidth |
If character, the identifier of how to compute the bandwidth
as defined in the cointReg package (see
documentation for |
n |
The sample size for each realization |
gen_func |
The function generating the random sample from which the statistic is computed |
args |
A list of arguments to be passed to |
parallel |
Whether to use the foreach and doParallel packages to parallelize simulation (which needs to be initialized in the global namespace before use) |
If use_kernel_var is set to TRUE, long-run variance estimation
using kernel-based techniques will be employed; otherwise, a technique
resembling standard variance estimation will be employed. Any technique
employed, though, will account for the potential break points, as described
in Rice et al. (). See the documentation for
stat_de for more details.
The parameters kernel and bandwidth control parameters for
long-run variance estimation using kernel methods. These parameters will be
passed directly to stat_de.
A vector of simulated realizations of the Darling-Erdös statistic
Andrews DWK (1991). “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation.” Econometrica, 59(3), 817-858.
Rice G, Miller C, Horváth L (????). “A new class of change point test of Rényi type.” in-press.
CPAT:::sim_de_stat(100)
CPAT:::sim_de_stat(100, use_kernel_var = TRUE,
gen_func = CPAT:::rchangepoint,
args = list(changepoint = 250, mean2 = 1))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.