simCritVal: Simulate Critical Value

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

Description

Simulates a critical value from the asymptotic distribution of the chosen CUSUM detector under the no change scenario.

Usage

simCritVal(
  samples = 1000,
  alpha = 0.05,
  detector = "PageCUSUM",
  gamma = 0,
  npts = 500,
  progressBar = TRUE
)

Arguments

samples	Number of samples to simulate from asymptotic distribution
alpha	Type 1 error
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
npts	Number of points in discretization of Weiner process
progressBar	Logical. Show progress bar

Value

numeric critical value

Examples

ans = simCritVal(samples=100, npts=20)

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