#include <cumres.hpp>
Public Member Functions | |
| cumres (const arma::vec &r, const arma::mat &dr, const arma::mat &ic) | |
| Constructor. More... | |
| void | order (const arma::mat &inp, arma::vec b=arma::vec()) |
| Set variables to order after and bandwidth. | |
| arma::vec | rnorm () |
| Draw n samples from standard normal distribution. More... | |
| arma::mat | obs () |
| Calculate observed cumulative residual process. More... | |
| arma::mat | sample (const arma::umat &idx=arma::umat()) |
| Simulate one process under the null hypothesis of a correctly specified model. More... | |
| arma::mat | sample (unsigned R, const arma::umat &idx=arma::umat(), bool quantiles=true) |
| Sample R processes and calculate test statistics under the null (Suprememum and L2 statistics) More... | |
Public Attributes | |
| unsigned | n |
| Sample size. | |
| arma::vec | r |
| Residuals. | |
| arma::umat | ord |
| Stores order of observations to cumulate after. | |
| arma::mat | dr |
| Derivative of residuals wrt model parameters. | |
| arma::mat | ic |
| Influence curve. | |
| arma::mat | inp |
| Variable to order residuals after. | |
| arma::vec | b |
| Bandwidth of moving average. | |
| arma::mat | qt |
| Stores data for calculations of quantiles. | |
| arma::mat | eta |
| Cumulative derivative of residuals. | |
Detailed Description
The cumres class provides a data structure for calculating goodness-of-fit statistics based on aggregation of residuals (cumulative residuals) of a statistical model.
Definition at line 20 of file cumres.hpp.
Constructor & Destructor Documentation
| target::cumres::cumres | ( | const arma::vec & | r, |
| const arma::mat & | dr, | ||
| const arma::mat & | ic | ||
| ) |
Constructor.
Constructor for the cumres class.
- Parameters
-
r column vector of residuals dr matrix of partial deriatives of the residuals wrt to the parameter vector ic matrix with the estimated influence functions for the parametric model
Definition at line 22 of file cumres.cpp.
Member Function Documentation
| arma::mat target::cumres::obs | ( | ) |
Calculate observed cumulative residual process.
Calculate the observed cumulative residual process
\[ W(t) = n^{-1/2}\sum_{i=1}^n 1\{t-b<X_i\leq t\}r_i, \]
where \(r_i\) is the the residual corresponding to the \(i\)th observation and \(X_i\) is the variable which the process is ordered against (as defined by the inp argument to cumres::order).
When b is not set (i.e., an empty vector) the standard cumulative residual process is calculated (corresponding to \(b=\infty\)):
\[ W(t) = n^{-1/2}\sum_{i=1}^n 1\{X_i\leq t\}r_i.\]
Definition at line 89 of file cumres.cpp.
| arma::vec target::cumres::rnorm | ( | ) |
Draw n samples from standard normal distribution.
Sample n independent standard normal distributed variables.
Definition at line 64 of file cumres.cpp.
| arma::mat target::cumres::sample | ( | const arma::umat & | idx = arma::umat() | ) |
Simulate one process under the null hypothesis of a correctly specified model.
Obtain a single sample of the residual process under the null hypothesis (true model).
- Parameters
-
idx indices in which to evaluate the process. If this is an empty vector the process is evaluated in all observed points.
Definition at line 117 of file cumres.cpp.
| arma::mat target::cumres::sample | ( | unsigned | R, |
| const arma::umat & | idx = arma::umat(), |
||
| bool | quantiles = true |
||
| ) |
Sample R processes and calculate test statistics under the null (Suprememum and L2 statistics)
Draw R samples from the cumulative residual process under the null hypothesis (true model)
- Parameters
-
R Number of process to sample idx subset of indices to evalute the process in quantiles Boolean that defines whether quantiles of the sampled process is to be estimated
- Returns
- arma::mat \(R\times 2p\) matrix with Supremum and L2 test statistics for each of the \(p\) variables (columns in the
inpvariable defined in cumres::order)
Definition at line 162 of file cumres.cpp.
The documentation for this class was generated from the following files:
