Description Usage Arguments Details Value Note Author(s) References See Also
In Rufibach and Walther (2010) a new multiscale mode hunting procedure is presented that compares the local test statistics with critical values given by blocks. Blocks are collection of intervals on a given grid that contain roughly the same number of original observations.
1 | blocks(n, m0 = 10, fm = 2)
|
n |
Number of observations. |
m0 |
Initial parameter that determines the number of observations in one block. |
fm |
Factor by which m is increased from block to block. |
In our block procedure, we only consider a subset \mathcal{I}_{app} of all possible intervals \mathcal{I}_{all} where
\mathcal{I}_{all} = \Bigl\{(j, \ k ) \ : \ 0 ≤ j < k ≤ n+1, \ k - j > 1\Bigr\}.
This subset \mathcal{I}_{app} is computed as follows:
Set d_1, m_1, f_m > 1. Then:
for \ \ r = 1,…,\#blocks
d_r := round(d_1 f_m^{(r-1)/2}), \ m_r := m_1 f_m^{r-1}.
Include (j,k) in \mathcal{I}_{app} if
(a) j, k \in \{1+i d_r, \ i = 0, 1, … \} \ \ (we only consider every d–th observation) and
(b) m_r ≤ k-j-1 ≤ 2m_r-1 \ \ (\mathcal{I}_{jk} contains between m_r and 2m_r - 1 observations)
end \ \ for
b \times 2–matrix, where b is the number of blocks and the columns contain the lower and the upper number of observations that form each block.
The asymptotic results in Rufibach and Walther (2010) are only derived for f_m = 2.
Kaspar Rufibach, kaspar.rufibach@gmail.com,
http://www.kasparrufibach.ch
Guenther Walther, gwalther@stanford.edu,
www-stat.stanford.edu/~gwalther
Rufibach, K. and Walther, G. (2010). A general criterion for multiscale inference. J. Comput. Graph. Statist., 19, 175–190.
This function is called by modeHuntingBlock
.
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