cv.table: cv.table

In OLCPM: Online Change Point Detection for Matrix-Valued Time Series

cv.table

Description

A data matrix containing approximated critical values for the scaled Wiener process. A supplement to Table 1 in Horvath et al. (2004). The rows are for different gamma on a grid of 50 points in [0,0.49) with step size equal to 0.01, while the columns are for different alpha on a grid of 50 points in [0.001,0.5) with step size equal to 0.001. All the values are based on 100000 replications of simulated Wiener process on an equal grid of 20000 points in [0,1], thus can be slightly different from those in Horvath et al. (2004).

Usage

cv.table

Format

A matrix of size 50*500.

gamma

the scaling parameter

alpha

significance level (1-alpha)-th quantile

Details

#' @references Horvath L, Huskova M, Kokoszka P, et al (2004). Monitoring changes in linear models. Journal of statistical Planning and Inference, 126(1): 225-251.

OLCPM documentation built on June 22, 2024, 9:26 a.m.