simulation_mmc function

Maximized Monte Carlo Simulation

Generates N Monte Carlo replicates of a statistic for given nuisance parameter value.

simulation_mmc(
  y,
  statistic,
  dgp = function(y, v) sample(y, replace = TRUE),
  v,
  N = 99,
  ...
)

Arguments

• y: A vector or data frame.
• statistic: A function or a character string that specifies how the statistic is computed. The function needs to input the y and output a scalar.
• dgp: A function. The function inputs the first argument y and a vector of nuisance parameters v and outputs a simulated y. It should represent the data generating process under the null. Default value is the function sample(y, replace = TRUE), i.e. the bootstrap resampling of y.
• v: A vector parameters. The vector v is use to specify the dgp. Note that if dgp is a function of only y then we do not need to specify v. Default value is NULL.
• N: An atomic vector. Number of replications of the test statistic.
• ...: Other named arguments for statistic which are passed unchanged each time it is called

Returns

The vector of replication of test statistic.