cusumTestStat: Test statistic for CUSUM method
In grundy95/changepoint.cov: Implementation of Covariance Changepoint Methods
Description
Usage
Arguments
Details
Value
References
See Also
Examples
View source: R/cusumTestStat.R
Description
Calculates the CUSUM test statistic for all potential changepoint locations within the time series. See cptCUSUM for more details.
Usage
1
cusumTestStat(X, LRCov, msl)
Arguments
X
Data matrix of dimension n by p.
LRCov
A character describing the long-run covariance estimator to be used. Currently, only "Bartlett"; "Empirical"; or a manual long-run covariance are available, see cptCUSUM for more details.
msl
A numeric giving the minimum segment length between changepoints. NOTE this should be greater than or equal to p.
Details
See cptCUSUM.
Value
A numeric vector containing the test statistic at each potential changepoint location.
References
\insertRefAue2009changepoint.cov
See Also
Examples
1
2
3
data <- wishartDataGeneration(n=100,p=3,tau=50)$data
ans <- cusumTestStat(X=data,LRCov='Empirical',msl=20)
which.max(ans)
grundy95/changepoint.cov documentation built on April 5, 2021, 6:21 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value References See Also Examples
View source: R/cusumTestStat.R
Description
Calculates the CUSUM test statistic for all potential changepoint locations within the time series. See cptCUSUM for more details.
Usage
1 | cusumTestStat(X, LRCov, msl)
|
Arguments
X |
Data matrix of dimension n by p. |
LRCov |
A character describing the long-run covariance estimator to be used. Currently, only "Bartlett"; "Empirical"; or a manual long-run covariance are available, see |
msl |
A numeric giving the minimum segment length between changepoints. NOTE this should be greater than or equal to p. |
Details
See cptCUSUM.
Value
A numeric vector containing the test statistic at each potential changepoint location.
References
\insertRefAue2009changepoint.cov
See Also
Examples
1 2 3 | data <- wishartDataGeneration(n=100,p=3,tau=50)$data
ans <- cusumTestStat(X=data,LRCov='Empirical',msl=20)
which.max(ans)
|
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.