permutationTest: Permutation Test for Subspace Method

In grundy95/changepoint.cov: Implementation of Covariance Changepoint Methods

Description

Calculates a threshold for the Subspace Method via a permutation test as described in \insertCiteGrundy2020;textualchangepoint.cov

Usage

permutationTest(X, subspaceDim, msl = dim(X)[2], alpha = 0.05, nperm = 200)

Arguments

X	Data matrix of dimension n by p.
subspaceDim	Dimension of the latent subspace.
msl	Minimum segment length between changepoints. Note this should be greater than or equal to p
alpha	Significance level of test
nperm	Number of random permutations to be performed

Details

This function works by generating the specified number of permutations of the original data set and running the Subspace method on each permutation in order to get samples from the distribution of the test statistic.

Value

Numeric containing the threshold value

References

\insertRef

Grundy2020changepoint.cov

See Also

cptSubspace

Examples

set.seed(1)
data <- subspaceDataGeneration(n=100,p=20,subspaceDim=5,tau=50)$data
ans <- permutationTest(X=data,subspaceDim=5,msl=20,nperm=100)
ans

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