| Fstat {multibreakeR} | R Documentation |
Fstat
Description
Compute the f-statistic for the break test
Usage
Fstat(mat.r, mat.beta, mat.z, p, mat.sigma)
Arguments
mat.r |
The selection matrix for the parameters |
mat.beta |
The matrix of parameters |
mat.z |
The matrix of original and "breaking" time series |
p |
The number of observations |
mat.sigma |
The covariance matrix |
Value
The f-statistic scalar
[Package multibreakeR version 0.1.0 Index]