compute.threshold: Computing threshold used in 'inspect'

In Tveten/capacc: Collective and point anomalies in cross-correlated data

Description

The threshold level to be used in inspect is computed via Monte Carlo simulation of multivariate time series that do not contain any changepoints.

Usage

compute.threshold(n, Q, alpha = 0.05, nrep = 100)

Arguments

n	Time length of the observation.
nrep	Number of Monte Carlo repetition to be used.
p	Dimension of the multivariate time series.

Value

A numeric value indicating the threshold level that should be used based on the Monte Carlo simulation.

Examples

compute.threshold(n=200, p=50)

Tveten/capacc documentation built on Sept. 29, 2021, 5:31 a.m.