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CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage

Author

Listed:
  • Rafal Weron

Abstract

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.

Suggested Citation

  • Rafal Weron, 2007. "CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage," HSC Software M07001, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:hscode:m07001
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/christof.m
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