compute.threshold: Computing threshold used in 'inspect'

In InspectChangepoint: High-Dimensional Changepoint Estimation via Sparse Projection

Computing threshold used in inspect

Description

The threshold level to be used in inspect is computed via Monte Carlo simulation of multivariate time series that do not contain any changepoints.

Usage

compute.threshold(n, p, nrep = 100, show_progress = TRUE)

Arguments

n	Time length of the observation.
p	Dimension of the multivariate time series.
nrep	Number of Monte Carlo repetition to be used.
show_progress	whether to show the progress of Monte Carlo simulation

Value

A numeric value indicating the threshold level that should be used based on the Monte Carlo simulation.

Examples

compute.threshold(n=200, p=50)

InspectChangepoint documentation built on May 3, 2022, 9:07 a.m.