common.null.stat: Threshold selection for the common components
In factorcpt: Simultaneous Change-Point and Factor Analysis

Description Usage Arguments Value Author(s) References

Implements the stationary bootstrap procedure, which generates thresholds that are used for multiple change-point detection in the common components. It is internally called for by common.seg and inherits all its arguments.

1	common.null.stat(mat, p.seq, B, q, lam, f, scales, mby, tby, do.parallel)

`mat`	a matrix containing the nodes of a binary tree grown for change-point analysis from the estimated common component
`p.seq`	reciprocals of the average block size for the factors
`B`	the number of bootstrap samples
`q`	the number of factors
`lam`	a matrix containing the estimated loadings
`f`	estimated factors
`scales`	see `scales` in `factor.seg.alg`
`mby`	see `dmby` in `func_dc_by`
`tby`	see `dtby` in `func_dc_by`
`do.parallel`	see `do.parallel` in `factor.seg.alg`

B values approximating the test statistics under the stationarity over the segments of consideration in the binary tree (defined by the nodes contained in mat).

Haeran Cho

M. Barigozzi, H. Cho and P. Fryzlewicz (2016) Simultaneous multiple change-point and factor analysis for high-dimensional time series, Preprint.

factorcpt documentation built on May 2, 2019, 8:15 a.m.