func_dc_by: Double CUSUM statistics
In markov10000/factorcpt: Simultaneous Change-Point and Factor Analysis
Description
Usage
Arguments
Value
Author(s)
References
Description
Aggregates high-dimensional CUSUM statistic series via Double CUSUM approach,
with additional parameters introduced to speed up the computation.
Usage
1
func_dc_by(z, dmby, dtby)
Arguments
z
input data matrix
dmby
the function computes every dmbyth Double CUSUM statistic cross-sectionally
dtby
the function computes every dtbyth Double CUSUM statistic in time
Value
cs
a matrix of CUSUM series
acs
a matrix of absolute values of CUSUM series
res
pointwise maximum of Double CUSUM statistics
mat
a matrix of Double CUSUM statistics
Author(s)
Haeran Cho
References
H. Cho (2016) Change-point detection in panel data via double CUSUM statistic. Electronic Journal of Statistics. 10: 2000-2038.
markov10000/factorcpt documentation built on Feb. 4, 2022, 8:55 a.m.
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Description Usage Arguments Value Author(s) References
Description
Aggregates high-dimensional CUSUM statistic series via Double CUSUM approach, with additional parameters introduced to speed up the computation.
Usage
1 | func_dc_by(z, dmby, dtby)
|
Arguments
z |
input data matrix |
dmby |
the function computes every |
dtby |
the function computes every |
Value
cs |
a matrix of CUSUM series |
acs |
a matrix of absolute values of CUSUM series |
res |
pointwise maximum of Double CUSUM statistics |
mat |
a matrix of Double CUSUM statistics |
Author(s)
Haeran Cho
References
H. Cho (2016) Change-point detection in panel data via double CUSUM statistic. Electronic Journal of Statistics. 10: 2000-2038.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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