subspaceTestStat: Test statistic for Subspace method
In grundy95/changepoint.cov: Implementation of Covariance Changepoint Methods

Description Usage Arguments Details Value References See Also Examples

Calculates the Subspace test statistic for all potential changepoint locations within the time series. See cptSubspace for more details.

1	subspaceTestStat(X, subspaceDim, msl)

`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.

See cptSubspace.

A numeric vector containing the test statistic at each potential changepoint location

\insertRef

Grundy2020changepoint.cov

cptSubspace

set.seed(1)
data <- subspaceDataGeneration(n=100,p=20,subspaceDim=5,tau=50,changeSize=0.5*sqrt(5))$data
ans <- subspaceTestStat(X=data,subspaceDim=5,msl=30)
which.max(ans)