testSignal: Piecewise constant test signal

In mosum: Moving Sum Based Procedures for Changes in the Mean

Piecewise constant test signal

Description

Produce vectors of mean and dispersion values for generating piecewise stationary time series.

Usage

testSignal(
  model = c("custom", "blocks", "fms", "mix", "stairs10", "teeth10")[1],
  lengths = NULL,
  means = NULL,
  sds = NULL
)

Arguments

model	a string indicating from which model a realisation is to be generated; possible values are "custom" (for user-specified model using lengths, means and sds), and "blocks", "fms", "mix", "stairs10", "teeth10" (for the referenced test signals)
lengths	use iff model = "custom"; an integer vector for the lengths of the piecewise stationary segments
means	use iff model = "custom"; a numeric vector for the means of the piecewise stationary segments
sds	use iff model = "custom"; a numeric vector for the deviation scaling of the piecewise stationary segments.

Details

See Appendix B in the reference for details about the test signals.

Value

a list containing the following entries:

• mu_t mean vector of piecewise stationary model time series

• sigma_t deviation scaling vector of piecewise stationary model time series

References

P. Fryzlewicz (2014) Wild Binary Segmentation for Multiple Change-Point Detection. The Annals of Statistics, Volume 42, Number 6, pp. 2243-2281.

mosum documentation built on Oct. 22, 2022, 5:05 p.m.