mixture_arl: Estimates average run length (ARL) for monitoring by the...
In Tveten/tpcaMonitoring: Simulation Study for Changepoint Detection by TPCA.
Description
Usage
Arguments
Details
Value
Description
Description
Usage
1
mixture_arl(threshold, m, d, p0, n, w, n_sim)
Arguments
threshold
A numeric specifying the threshold value for when a change
is declared.
n
The number of observations to monitor for an estimate of the ARL.
See details.
w
The window size. Number of recent time-points to consider for a
change.
n_sim
The number of simulations to base the estimate on.
mu_x
A mean vector estimated from training data, representing the null distribution.
Sigma_x
A covariance matrix estimated from training data, representing the null distribution.
Details
Details
Value
An estimate of the average run length.
Tveten/tpcaMonitoring documentation built on June 4, 2019, 4:04 p.m.
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Description Usage Arguments Details Value
Description
Description
Usage
1 | mixture_arl(threshold, m, d, p0, n, w, n_sim)
|
Arguments
threshold |
A numeric specifying the threshold value for when a change is declared. |
n |
The number of observations to monitor for an estimate of the ARL. See details. |
w |
The window size. Number of recent time-points to consider for a change. |
n_sim |
The number of simulations to base the estimate on. |
mu_x |
A mean vector estimated from training data, representing the null distribution. |
Sigma_x |
A covariance matrix estimated from training data, representing the null distribution. |
Details
Details
Value
An estimate of the average run length.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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