# sim_de_stat: Darling-Erdös Statistic Simulation In CPAT: Change Point Analysis Tests

## Description

Simulates multiple realizations of the Darling-Erdös statistic.

## Usage

 1 2 3 sim_de_stat(size, a = log, b = log, use_kernel_var = FALSE, kernel = "ba", bandwidth = "and", n = 500, gen_func = rnorm, args = NULL, parallel = FALSE) 

## Arguments

 size Number of realizations to simulate a The function that will be composed wit l(x) = (2 \log(x))^{1/2} b The function that will be composed with u(x) = 2 \log(x) + \frac{1}{2} \log(\log(x)) - \frac{1}{2}\log(pi) use_kernel_var Set to TRUE to use kernel-based long-run variance estimation (FALSE means this is not employed) kernel If character, the identifier of the kernel function as used in the cointReg (see documentation for cointReg::getLongRunVar); if function, the kernel function to be used for long-run variance estimation (default is the Bartlett kernel in cointReg); this parameter has no effect if use_kernel_var is FALSE bandwidth If character, the identifier of how to compute the bandwidth as defined in the cointReg package (see documentation for cointReg::getLongRunVar); if function, a function to use for computing the bandwidth; if numeric, the bandwidth to use (the default behavior is to use the \insertCiteandrews91b;textualCPAT method, as used in cointReg); this parameter has no effect if use_kernel_var is FALSE n The sample size for each realization gen_func The function generating the random sample from which the statistic is computed args A list of arguments to be passed to gen_func parallel Whether to use the foreach and doParallel packages to parallelize simulation (which needs to be initialized in the global namespace before use)

## Details

If use_kernel_var is set to TRUE, long-run variance estimation using kernel-based techniques will be employed; otherwise, a technique resembling standard variance estimation will be employed. Any technique employed, though, will account for the potential break points, as described in \insertCitehorvathricemiller19;textualCPAT. See the documentation for stat_de for more details.

The parameters kernel and bandwidth control parameters for long-run variance estimation using kernel methods. These parameters will be passed directly to stat_de.

## Value

A vector of simulated realizations of the Darling-Erdös statistic

\insertAllCited

## Examples

 1 2 3 4 CPAT:::sim_de_stat(100) CPAT:::sim_de_stat(100, use_kernel_var = TRUE, gen_func = CPAT:::rchangepoint, args = list(changepoint = 250, mean2 = 1)) 

CPAT documentation built on May 1, 2019, 6:51 p.m.