cptForecastErrorCheck: Error checking - cptForecast

In grundy95/changepoint.forecast: Sequential Changepoint Detection of Forecast Errors

Description

Performs error checking on the arguments passed to cptForecast

Usage

cptForecastErrorCheck(
  errors = errors,
  m = m,
  detector = detector,
  forecastErrorType = forecastErrorType,
  gamma = gamma,
  critValue = critValue,
  alpha = alpha,
  samples = samples,
  npts = npts
)

Arguments

errors	numeric vector. Forecast errors to perform changepoint analysis upon.
m	numeric. Length of training period where forecast errors are assumed stable.
detector	character. Type of changepoint detector to use. Choice of "PageCUSUM": Page's CUSUM detector for 2-sided alternative hypothesis. "PageCUSUM1": Page's CUSUM detector for 1-sided alternative hypothesis. "CUSUM": Original CUSUM detector for 2-sided alternative hypothesis. "CUSUM1": Original CUSUM detector for 1-sided alternative hypothesis. See details below.
forecastErrorType	character. Type of changes to look for. Choice of "Both": Analysis is performed on both the raw and squared forecast errors, "Raw": Analysis is only performed on the raw forecast errors. Only first order changes are reliably detected. "Squared:" Analysis is only performed on the centred squared forecast errors. See details below.
gamma	numeric. Tuning parameter used in detector. See details below.
critValue	character or numeric. Critical value of normalized asymptotic distribution of chosen detector under no change. Choice of "Lookup": Pre-simulated critical value is used if available "Simulate": Critical value is simulated. Note this can be time consuming in certain scenarios numeric: Specified critical value to be used See details below
alpha	Type-1 error
samples	Only used if critValue='Simulate'. Number of sample of Weiner processes used to calculate critical value.
npts	Only used if critValue='Simulate'. Number of points in each sample of a Weiner process used to calculate critical value.

grundy95/changepoint.forecast documentation built on Dec. 20, 2021, 1:45 p.m.