cusumErrorChecks: Error checking for CUSUM Method

Description Usage Arguments See Also

View source: R/methodErrorChecks.R

Description

DEVELOPER USE ONLY. This function checks the user inputs to make sure they are all valid

Usage

1

Arguments

X

Data matrix of dimension n by p.

threshold

Threshold choice for determining significance of changepoints. Choices include:

  • "Asymptotic" - Uses the asymptotic threshold derived for each method. For Ratio method the threshold is log(n). For CUSUM method the threshold is the specified quantile of the standard Normal distribution. The quantile is set by the argument thresholdValue.

  • "Manual"- A user chosen threshold which is contained in the thresholdValue argument. NOTE the normalized test statistics will be compared to the set thresholds - see details for more information.

If numCpts is numeric then the threshold is not used as the number of changepoints is known.

numCpts

Number of changepoints in the data. Choices include:

  • "AMOC" - At Most One Changepoint; test to see if the data contains a single changepoint or not.

  • "BinSeg"- Binary segmentation is performed to detect multiple changepoints.

  • Numeric - User specified number of changepoints.

LRCov

The long-run covariance estimator to be used for CUSUM method. Currently, only "Bartlett" and "Empirical" are supported. Alternatively, a matrix containing the long-run covariance estimate can be inputted.

thresholdValue

Either the manual threshold value when threshold="Manual" or the (1-thresholdValue)-quantile of asymptotic distribution of the test statistic when threshold="Asymptotic".

msl

Minimum segment length allowed between the changepoints. NOTE this should be greater than or equal to p, the dimension of the time series.

Class

Logical. If TRUE then an S4 class is returned. If FALSE the estimated changepoints are returned.

See Also

cptCUSUM


grundy95/changepoint.cov documentation built on April 5, 2021, 6:21 p.m.