maxtest: Max test for detecting simultaneous signals.
In JianqiaoWang/MaxBlock:

Description Usage Arguments Value Examples

View source: R/MaxTest.R

Given two sequences of paired test statistics, tests whether any simultaneous signals exist. Same as the MaxTest function in ssa package.

1	maxtest(T1, T2)

T1, T2

paired vectors of test statistics, both must be the same length; must be stochastically larger under the alternative than under the null; must contain only positive values

`p`	p-value
`M`	value of max statistic

## generate paired test statistics
p <- 10^6; ## total number of pairs
X <- c(rep(0,p-30),rep(1,10),rep(2,10),rep(3,10));
## X=0: no signal in either sequence of tests
## X=1: signal in sequence 1 only
## X=2: signal in sequence 2 only
## X=3: simultaneous signal
set.seed(1);
Z1 <- rnorm(p,0,1); Z1[X==1|X==3] <- rnorm(20,3,1);
Z2 <- rnorm(p,0,1); Z2[X==2|X==3] <- rnorm(20,4,1);
maxtest(abs(Z1),abs(Z2));