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 idiosyncratic components.
It is internally called for by idio.seg
and inherits all its arguments.
1 | idio.null.stat(mat, p, B, hat.vep, diag, scales, mby, tby, do.parallel)
|
mat |
a matrix containing the nodes of a binary tree grown for change-point analysis from the estimated idiosyncratic component |
p |
reciprocals of the average block size for the factors |
B |
the number of bootstrap samples |
hat.vep |
estimated idiosyncratic components |
diag |
see |
scales |
see |
mby |
see |
tby |
see |
do.parallel |
see |
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.
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