R/mosum_function.R

In vroni-g/change_point_detection: Permutation Multiple Testing methods in R

#' Recursive CUSUSM structual change test function with pre-whitening
#' 
#' Computes the recursive residuals for the given time series and returns the test statistic
#'
#' @param x time series of a single grid cell
#' @return Recursive residuals CUSUM test statistic
#' @export cusum_stat

mosum_stat <- function(x, h){
  if(all(is.na(x))) return(NA)
  res <- ts(x, frequency=1, start=1) %>%
    strucchange::efp(. ~ time(.), ., type = 'OLS-MOSUM', h = h) %>%
    strucchange::sctest()
  if(rlang::is_empty(res$statistic)) return(NA)
  if(is.na(res$statistic)) return(NA)
  return(res$statistic)
}

#' This function is an example of a valid function as an input to the multiple
#' testing correction function. Autocorrelation lag 1 , r, is estimated and
#' removed from each grid cell time series x_t, so that the new time
#' series is y_t = x_t - rx_t-1
#' @param x time series at a single grid cell
#' @return recursive CUSUM test statistic, corrected for temporal autocorrelation
#' @export cusum_function

mosum_function<- function(x){
  if(all(is.na(x))) return(NA)
  if(any(is.na(x))) x<- x[!is.na(x)]
  #if(length(x)<8) return(NA) # is no longer neccessary as 2d approach only include points with min. 90% data availability

  x <- x[is.finite(x)]
  xn <- (x[-1] - (x[-length(x)] * rk_fn(x)))
  s <- mosum_stat(xn, h = 0.325) # hard coded window for now

  return(s)
}