@krzysztofsztompka/garch
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    Type Alias CoverageTest

    How a VaR's violations grade: their count and rate, and Kupiec's, Christoffersen's and the joint test.

    type CoverageTest = {
        conditional: { pValue: number; statistic: number };
        independence: { pValue: number; statistic: number };
        observations: number;
        rate: number;
        unconditional: { pValue: number; statistic: number };
        violations: number;
    }
    Index
    conditional independence observations rate unconditional violations
    conditional: { pValue: number; statistic: number }

    Both at once, χ²(2).

    independence: { pValue: number; statistic: number }

    Christoffersen's independence: does a violation make the next more likely? χ²(1).

    observations: number
    rate: number
    unconditional: { pValue: number; statistic: number }

    Kupiec's proportion of failures: is the violation rate level? χ²(1).

    violations: number

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