calc_S: Calculate S matrix

In dpweix/mlmcusum: Detects Changes in Covariance for Multivariate TS

Calculate S matrix

Description

A helper function to calculate the S vector given tau, k, mu_tau, and sigma_tau_inv. While k is a tuning parameter, the rest are calculated from the data.

Usage

calc_S(tau, k, mu_tau, sigma_tau_inv)

Arguments

tau	A vector representing covariance.
k	A tuning parameter.
mu_tau	The mean of tau. Estimated from the training data.
sigma_tau_inv	The inverse covariance matrix of tau. Estimated from the training data.

Value

A vector S which is used to calculate the plotting statistic.

dpweix/mlmcusum documentation built on July 31, 2023, 10:13 a.m.