compute_quantiles: Computes quantiles of the gaussian multiscale statistics.

In MSinference: Multiscale Inference for Nonparametric Time Trend(s)

Computes quantiles of the gaussian multiscale statistics.

Description

Quantiles from the gaussian version of the test statistics which are used to approximate the critical values for the multiscale test.

Usage

compute_quantiles(
  t_len,
  n_ts = 1,
  grid = NULL,
  ijset = NULL,
  sigma = 1,
  deriv_order = 0,
  sim_runs = 1000,
  probs = seq(0.5, 0.995, by = 0.005),
  correction = TRUE,
  epidem = FALSE
)

Arguments

t_len	Sample size.
n_ts	Number of time series analyzed. Default is 1.
grid	Grid of location-bandwidth points as produced by the function construct_grid or construct_weekly_grid, list with the elements 'gset', 'bws', 'gtype'. If not provided, then the defalt grid is produced and used. For the construction of the default grid, see construct_grid.
ijset	A matrix of integers. In case of multiple time series, we need to know which pairwise comparisons to perform. This matrix consists of all pairs of indices (i, j) that we want to compare. If not provided, then all possible pairwise comparison are performed.
sigma	Value of \sqrt{\sigma^2}. In case of n_ts = 1, \sigma^2 denotes the long-run error variance, and in case of n_ts > 1, \sigma^2 denotes the overdispersion parameter. If not given, then the default is 1.
deriv_order	In case of a single time series analysed, this parameter denotes the order of the derivative of the trend function that is being estimated. Default is 0.
sim_runs	Number of simulation runs to produce quantiles. Default is 1000.
probs	A numeric vector of probability levels (1-\alpha) for which the quantiles are computed. Default is (0.5, 0.505, 0.51, \ldots, 0.995).
correction	Logical variable, TRUE (by default) if we are using a_k and b_k.
epidem	Logical variable, TRUE if we are using dealing with epidemic time trends. Default is FALSE.

Value

Matrix with 2 rows where the first row contains the vector of probabilities (probs) and the second contains corresponding quantiles of the gaussian statistics distribution.

Examples

compute_quantiles(100)

MSinference documentation built on Sept. 11, 2024, 5:38 p.m.