detectBinary | R Documentation |
This function uses PCA-based method to find breaks. Simultaneous breaks are found from binary segmentation.
detectBinary(
Y,
Del,
L,
q = "fixed",
alpha = 0.05,
nboot = 199,
n.cl,
bsize = "log",
bootTF = TRUE,
scaleTF = TRUE,
diagTF = TRUE,
plotTF = TRUE
)
Y |
data: Y = length*dim |
Del |
Delta away from the boundary restriction |
L |
the number of factors |
q |
methods in calculating long-run variance of the test statistic. Default is "fixed" = length^(1/3). Adaptive selection method is also available via "andrews", or user specify the length |
alpha |
significance level of the test |
nboot |
the number of bootstrap sample for p-value. Default is 199. |
n.cl |
number of cores in parallel computing. The default is (machine cores - 1) |
bsize |
block size for the Block Wild Bootstrapping. Default is log(length), "sqrt" uses sqrt(length), "adaptive" determines block size using data dependent selection of Andrews |
bootTF |
determine whether the threshold is calculated from bootstrap or asymptotic |
scaleTF |
scale the variance into 1 |
diagTF |
include diagonal term of covariance matrix or not |
plotTF |
Draw plot to see test statistic and threshold |
tstathist The complete history of test statistics.
Brhist The sequence of breakpoints found from binary splitting
L The number of factors used in the procedure
q The estimated vectorized autocovariance on each regime.
crit The critical value to identify change point
bsize The block size of the bootstrap
diagTF If TRUE, the diagonal entry of covariance matrix is used in detecting connectivity changes.
bootTF If TRUE, bootstrap is used to find critical value
scaleTF If TRUE, the multivariate signal is studentized to have zero mean and unit variance.
out3= detectBinary(changesim, L=2, n.cl=1)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.