org.codehaus.jet.hypothesis.rejection
Interface RejectionValueEstimator

All Known Implementing Classes:
AbstractRejectionValueEstimator, CriticalValueEstimator, PValueEstimator

public interface RejectionValueEstimator

Estimator of rejection values - critical values and p-values - for unit roots and cointegration tests, as detailed in

Author:
Mauro Talevi

Method Summary
 double estimateAsymptoticValue(double[] norms, double[] probs, double[] weights, double[] criticalValues, double level)
          Estimates an asymptotic rejection value
 double estimateValue(double[] norms, double[] probs, double[] weights, double[][] beta, int sampleSize, int[] params, double level)
          Estimates a rejection value
 

Method Detail

estimateValue

double estimateValue(double[] norms,
                     double[] probs,
                     double[] weights,
                     double[][] beta,
                     int sampleSize,
                     int[] params,
                     double level)
Estimates a rejection value

Parameters:
norms - the normalisations used to construct the regressors matrix
probs - the probabilities used to construct the covariance matrix
weights - the weights sed to construct the covariance matrix
beta - the beta values
sampleSize - the sample size
params - the params specific to different tests
level - the significance level
Returns:
A rejection value

estimateAsymptoticValue

double estimateAsymptoticValue(double[] norms,
                               double[] probs,
                               double[] weights,
                               double[] criticalValues,
                               double level)
Estimates an asymptotic rejection value

Parameters:
norms - the normalisations used to construct the regressors matrix
probs - the probabilities used to construct the covariance matrix
weights - the weights used to construct the covariance matrix
criticalValues - the criticalvalues
level - the significance level
Returns:
A rejection value


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