sim_hs_stat: Hidalgo-Seo Statistic Simulation

In CPAT: Change Point Analysis Tests

Description

Simulates multiple realizations of the Hidalgo-Seo statistic.

Usage

sim_hs_stat(size, corr = TRUE, gen_func = rnorm, args = NULL,
  n = 500, parallel = FALSE, use_kernel_var = FALSE, kernel = "ba",
  bandwidth = "and")

Arguments

size	Number of realizations to simulate
corr	Whether long-run variance should be computed under the assumption of correlated residuals
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
n	The sample size for each realization
parallel	Whether to use the foreach and doParallel packages to parallelize simulation (which needs to be initialized in the global namespace before use)
use_kernel_var	Set to TRUE to use kernel-based long-run variance estimation (FALSE means this is not employed); TODO: NOT CURRENTLY IMPLEMENTED
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; TODO: NOT CURRENTLY IMPLEMENTED
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; TODO: NOT CURRENTLY IMPLEMENTED

Details

If corr is TRUE, then the residuals of the data-generating process are assumed to be correlated and the test accounts for this in long-run variance estimation; see the documentation for stat_hs for more details. Otherwise, the sample variance is the estimate for the long-run variance, as described in \insertCitehidalgoseo13;textualCPAT.

Value

A vector of simulated realizations of the Hidalgo-Seo statistic

References

\insertAllCited

Examples

CPAT:::sim_hs_stat(100)
CPAT:::sim_hs_stat(100, gen_func = CPAT:::rchangepoint, 
                   args = list(changepoint = 250, mean2 = 1))

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