Description

Data generated by the demo('numerical_experiments') of the nvmix package.

Usage

Format

A list with 10 elements:

$pnvmix.abserrors

Array as returned by the function pnvmix_testing_abserr(), see Section 1.1 of the demo('numerical_experiments').

$pnvmix.t.variances

Array as returned by the function precond_testing_variance(), see Section 1.1 of the demo('numerical_experiments').

$pnvmix.t.sobolind

Array as returned by the function pnvmix_estimate_sobolind(), see Section 1.1 of the demo('numerical_experiments').

$pnvmix.t.timing

Array as returned by the function pnvmix_timing_mvt(), see Section 1.1 of the demo('numerical_experiments').

$dnvmix.results

Array as returned by the function dnvmix_testing(), see Section 1.2 of the demo('numerical_experiments').

$fitnvmix.results

Array as returned by the function fitnvmix_testing(), see Section 1.3 of the demo('numerical_experiments').

$fit.dj30.anaylytical

Array containing results of fitnvmix() applied to DJ30 data using analytical weights/densities, see Section 5 of demo('numerical_experiments').

$fit.dj30.estimated

Array containing results of fitnvmix() applied to DJ30 data using estimated weights/densities, see Section 5 of demo('numerical_experiments').

$qqplots.dj30

Array containing results of qqplot.maha() applied to DJ30 data, see Section 5 of the demo('numerical_experiments').

$tailprobs.dj30

Array containing estimated quantile shortfall probabilities of models fitted to DJ30 data, see Section 5 of demo('numerical_experiments').

References

Hintz, E., Hofert, M. and Lemieux, C. (2020), Normal variance mixtures: Distribution, density and parameter estimation. https://arxiv.org/abs/1911.03017.