limDistGenerator: Samples from Limit Distributions of CUSUM Detectors

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

Description

Generates required number of samples from the asymptotic limit distribution of the chosen CUSUM detector under the scenario of no change.

Usage

limDistGenerator(
  detector = "PageCUSUM",
  gamma = 0,
  samples = 1000,
  npts = 500,
  progressBar = TRUE
)

Arguments

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
gamma	tuning parameter in the weight function
samples	Number of samples to simulate from asymptotic distribution
npts	Number of points in discretization of Weiner process
progressBar	Logical. Show progress bar

Value

numeric vector of samples

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