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The acceptance region for a particular test is determined.
● Data Source:
CranContrib
● Keywords:
● Alias: region.acceptance
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For a sample drawn with sample.knowledge.H1 and for a statistical test, the acceptance region is determined and the power for each value of H1 in the sample is computed.
● Data Source:
CranContrib
● Keywords:
● Alias: simul.scenario.rs
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A distribution for knowledge about the values under H1 is assumed. The function par.dist.default creates default values for the parameters of the distribution.
● Data Source:
CranContrib
● Keywords:
● Alias: par.dist.default
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This package implements statistical tests described in the ECB Working paper ”Advances in multivariate back-testing for credit risk underestimation”, by F. Coppens, M. Mayer, L. Millischer, F. Resch, S. Sauer, K. Schulze (ECB WP series, forthcoming). The empirical results in the paper were obtained using the package's functions.
● Data Source:
CranContrib
● Keywords:
● Alias: validateRS, validateRS-package
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A sample of a certain size is drawn from a chosen distribution. The parameters for the distribution are obtained through a call to the function par.dist.default. The parameters may be changed, although the structure should not be changed.
● Data Source:
CranContrib
● Keywords:
● Alias: sample.knowledge.H1
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Compute the alternative hypothesis' PDs by increasing the PDs under the null hypothesis towards 1.
● Data Source:
CranContrib
● Keywords:
● Alias: power.target.Nclasses
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The power of a region is computed for a simple alternative hypothesis. The region should be created by a call to region.acceptance.
● Data Source:
CranContrib
● Keywords:
● Alias: region.power
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Computes the adjusted p-values for multiple test (minP).
● Data Source:
CranContrib
● Keywords:
● Alias: minP.adj.pvalue
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Data for rating classes of S&P
● Data Source:
CranContrib
● Keywords:
● Alias: ratingData
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providing 
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