CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage
CHRISTOF(I,P) returns the likelihood ratio test values for the unconditional coverage, independence and conditional coverage tests, respectively, for a binary time series I and a coverage probability P. The series I(t) is defined as: I(t) = 1 if the actual value of the forecasted process belongs to the prediction interval for time t computed at time t-1 and 0 otherwise. [LR_UC,LR_I,LR_CC,LR_UC_P,LR_I_P,LR_CC_P]=CHRISTOF(I,P) additionally returns the corresponding p-values.
|Requires:||MATLAB (tested on MATLAB ver. 7.2).|
|Date of creation:||09 Sep 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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