finner_prod_maxp: The function finds the value which yields the maximum inner...

In wbsts: Multiple Change-Point Detection for Nonstationary Time Series

Description

This function is an internal C++ function wrapped by cr.rand.max.inner.prod.

Usage

finner_prod_maxp(x,p)

Arguments

x	A time series.
p	A scalar in (0.67,1]

Value

1	maximum cusum value
2	the location of a point with the maximum cusum value

Author(s)

K. Korkas and P. Fryzlewicz

References

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)

Examples

 
#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))
##balanced
#finner_prod_maxp(z[,1],0.51)
##unbalanced
#finner_prod_maxp(z[,1],0.99)

wbsts documentation built on July 1, 2020, 5:23 p.m.