get_lr_var: Compute the long-run variance of the gap vector

In L2hdchange: L2 Inference for Change Points in High-Dimensional Time Series

Compute the long-run variance of the gap vector

Description

Compute the long-run variance of the gap vector

Usage

get_lr_var(hdobj)

Arguments

hdobj

An S3 object of class 'no_nbd' or 'nbd' generated by ts_hdchange().

Value

The covariance matrix of the gap vectors \hat{J}(.).

References

Li, J., Chen, L., Wang, W. and Wu, W.B., 2022. \ell^2 Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM. arXiv preprint arXiv:2208.13074.

Examples

# generate data
data_no_nbd <- sim_hdchange_no_nbd(n = 200,
p = 30,
S = 30,
tau = c(40, 100, 160),
dist_info =
  list(dist = "normal", dependence = "MA_inf", param = 1),
jump_max = c(2, 2, 1.5))

# construct no_nbd object
ts_no_nbd <- ts_hdchange(data_no_nbd,
window_size = 30,
m = 8,
h = 1,
N_rep = 999,
alpha = 1e-5,
quantiles = c(0.01, 0.05, 0.1))

lr_var <- get_lr_var(ts_no_nbd)

L2hdchange documentation built on July 26, 2023, 6:06 p.m.