Comprehensive ADCC Inference — adcc_comprehensive_inference • tsbs

Compute Hessian-based and bootstrap standard errors for ADCC parameters, with comparison and diagnostics.

Usage

adcc_comprehensive_inference(
  z_matrix,
  weights,
  adcc_result,
  Qbar = NULL,
  copula_dist = "mvn",
  n_boot = 200,
  boot_method = "residual",
  conf_level = 0.95,
  verbose = TRUE,
  seed = NULL
)

Arguments

z_matrix: T x k matrix of copula residuals
weights: T-vector of observation weights
adcc_result: Result from estimate_adcc_copula()
Qbar: k x k unconditional correlation matrix
copula_dist: "mvn" or "mvt"
n_boot: Number of bootstrap replications
boot_method: "residual" or "parametric"
conf_level: Confidence level
verbose: Print progress
seed: Random seed

Value

List with comprehensive inference results