across_fip {wbsts} | R Documentation |
The value that maximises the CUSUM statistic across all the scales (C++ version)
Description
This function is an internal the non-randomized of multi_across_fip.
Usage
across_fip(X, tau, p, epp, p1, Ts)
Arguments
X |
The wavelet periodogram. |
Ts |
The sample size of the series. |
tau |
The CUSUM threshold. |
epp |
A minimum adjustment for the bias present in |
p |
A scalar in (0.67,1] |
Value
1 |
maximum cusum value |
2 |
the location of a point with the maximum cusum value |
Author(s)
K. Korkas and P. Fryzlewicz
References
K. Korkas and P. Fryzlewicz (2017), Multiple change-point detection for non-stationary time series using Wild Binary Segmentation. Statistica Sinica, 27, 287-311. (http://stats.lse.ac.uk/fryzlewicz/WBS_LSW/WBS_LSW.pdf)
Examples
cps=seq(from=1000,to=2000,by=200)
y=sim.pw.arma(N =3000,sd_u = c(1,1.5,1,1.5,1,1.5,1),
b.slope=rep(0.99,7),b.slope2 = rep(0.,7), mac = rep(0.,7),br.loc = cps)[[2]]
z=ews.trans(y,scales=c(11,9,8,7,6))
across_fip(X=z, tau=tau.fun(y), p=.75, epp=rep(32,5), p1=5, Ts=length(y))
[Package wbsts version 2.1 Index]