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);

Source#

qr_qks.src

1	Constant.
2	Constant and trend.