Description Usage Arguments Value Author(s) References Examples
This function is an internal the non-randomized of multi_across_fip.
1 | across_fip(X, tau, p, epp, p1, Ts)
|
X |
The wavelet periodogram. |
Ts |
The sample size of the series. |
tau |
The CUSUM threshold. |
epp |
A minimum adjustment for the bias present in E^{(i)}_{t,T}. |
p |
A scalar in (0.67,1] |
1 |
maximum cusum value |
2 |
the location of a point with the maximum cusum value |
K. Korkas and P. Fryzlewicz
K. Korkas and P. Fryzlewicz (2017), Multiple change-point detection for non-stationary time series using Wild Binary Segmentation. Statistica Sinica, 27, 287-311. (http://stats.lse.ac.uk/fryzlewicz/WBS_LSW/WBS_LSW.pdf)
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