Description Usage Arguments Value Author(s) References Examples
View source: R/cr.rand.max.inner.prod.R
The function finds the value which yields the maximum inner product with the input time series (CUSUM) located between 100(1-p)\% and 100p\% of their support across all the wavelet periodogram scales.
1 | cr.rand.max.inner.prod(XX,Ts,C_i,epp,M = 0,Plot = FALSE,cstar=0.95)
|
XX |
The wavelet periodogram. |
Ts |
The sample size of the series. |
C_i |
The CUSUM threshold. |
epp |
A minimum adjustment for the bias present in E^{(i)}_{t,T}. |
M |
Number of random CUSUM to be generated. |
Plot |
Plot the threhsold CUSUM statistics across the wavelet scales. |
cstar |
A scalar in (0.67,1] |
1 |
Candidate change point |
2 |
The maximum CUSUM value |
3 |
The starting point s of the favourable draw |
4 |
The ending point e of the favourable draw |
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)
1 2 3 4 5 6 7 8 |
#cps=seq(from=1000,to=2000,by=200)
#y=sim.pw.arma(N =3000,sd_u = c(1,1.5,1,1.5,1,1.5,1),
#b.slope=rep(0.99,7),b.slope2 = rep(0.,7), mac = rep(0.,7),br.loc = cps)[[2]]
#z=ews.trans(y,scales=c(11,9,8,7,6))
#out=cr.rand.max.inner.prod(z, Ts = length(y),C_i = tau.fun(y),
#epp = rep(32,5), M = 2000, cstar = 0.75, Plot = 1)
#abline(v=cps,col="red")
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