qks_tests¶
Purpose¶
Computes the quantile Kolmogorov?-Smirnov (QKS) tests.
Format¶
-
QKS =
qks_tests(y, model, test[, p, f])¶ Parameters: - y (Nx1 matrix) – Time series data to be tested.
- model (Scalar) –
Model to be implemented.
1 Constant. 2 Constant and trend. - p (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.
- f (Scalar) – Optional, the Fourier frequency. Default = 3.
Returns: qks (Scalar) – QKS tau-statistic
Examples¶
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/TSe.dat");
// Use constant, no trend model
model = 1;
/*
** QKS test of Koenker & Xiao (2004)
*/
test = 1;
qks_stat = qks_tests(y, model, test);