| pseudos {changepointTests} | R Documentation |
Pseudo-observations
Description
Pseudo-observations used in Nasri, Remillard, Bahraoui (2021). The values represent conditional cdfs of Gaussian HMM models applied to log-returns of Nasdaq and Dow Jones Industrial indexes from 2007 and 2008. If the models are correct, the pseudo-observations should be almost iid with uniform distribution.
Usage
data(pseudos)Format
Pseudo-observations from Gaussian HMM models with 3 regimes for log-returns of the to Nasdaq index and Dow Jones Industrial indexes from 2007 and 2008.
1st column: pseudo-observations of a Gaussian HMM model with 3 regimes applied to the Nasdaq log-returns.
2nd column: pseudo-observations of a Gaussian HMM model with 3 regimes applied to the Dow Jones Industrial log-returns.
[Package changepointTests version 0.1.5 Index]