# mosum.stat: MOSUM statistic In mosum: Moving Sum Based Procedures for Changes in the Mean

## Description

Computes the statistical values for the MOSUM test for changes in the mean.

## Usage

 ```1 2 3 4 5 6 7 8``` ```mosum.stat( x, G, G.right = NA, var.est.method = "mosum", var.custom = NULL, boundary.extension = TRUE ) ```

## Arguments

 `x` input data (`numeric` vector or object of class `ts`) `G` an integer value for the length of the moving sum window; `G` should be less than `length(n)/2`. Alternatively a number between `0` and `0.5` describing the moving sum bandwidth relative to `length(x)`. `G.right` iff `!is.na(G.right)`, the asymmetric bandwidth (G,G.right) will be used `var.est.method` how the variance is estimated; possible values are `'custom'`a vector of `length(x)` is to be parsed by the user; use `var.custom` in this case to to so `'mosum'`both-sided MOSUM variance estimator `'mosum.min'`minimum of the sample variance estimates from the left and right summation windows `'mosum.max'`maximum of the sample variance estimates from the left and right summation windows `var.custom` a numeric vector (of the same length as `x`) containing local estimates of the variance or long run variance; use iff `var.est.method=custom` `boundary.extension` a logical value indicating whether the boundary values should be filled-up with CUSUM values

## Details

This class only contains the values for the MOSUM statistic. For statistical evaluation and change point extraction, use mosum. See also multiscale.bottomUp and multiscale.localPrune.

## Value

S3 `mosum.stat` object, which contains the following fields:

 `x` the numeric input vector provided `G.left,G.right` left and right bandwidths `var.est.method,var.custom,boundary.extension` input parameters `stat` a series of MOSUM statistic values; the first `G` and last `G.right` values are `NA` iff `boundary.extension=FALSE` `rollsums` a series of MOSUM detector values; equals `stat*sqrt(var.estimation)` `var.estimation` the local variance estimated according to `var.est.method`

mosum documentation built on June 25, 2021, 5:08 p.m.