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modehunt (version 1.0.7)

modeHuntingApprox: Multiscale analysis of a density on the approximating set of intervals

Description

Simultanous confidence statements for the existence and location of local increases and decreases of a density f, computed on the approximating set of intervals.

Usage

modeHuntingApprox(X.raw, lower = -Inf, upper = Inf, d0 = 2, m0 = 10, fm = 2, crit.vals, min.int = FALSE)

Arguments

X.raw
Vector of observations.
lower
Lower support point of $f$, if known.
upper
Upper support point of $f$, if known.
d0
Initial parameter for the grid resolution.
m0
Initial parameter for the number of observations in one block.
fm
Factor by which $m$ is increased from block to block.
crit.vals
2-dimensional vector giving the critical values for the desired level.
min.int
If min.int = TRUE, the set of minimal intervals is output, otherwise all intervals with a test statistic above the critical value are given.

Value

Dp
The set $\mathcal{D}^+(\alpha)$ (or $\bf{D}^+(\alpha)$), based on the test statistic with additive correction $\Gamma$.
Dm
The set $\mathcal{D}^-(\alpha)$ (or $\bf{D}^-(\alpha)$), based on the test statistic with $\Gamma$.
Dp.noadd
The set $\mathcal{D}^+(\alpha)$ (or $\bf{D}^+(\alpha)$), based on the test statistic without $\Gamma$.
Dm.noadd
The set $\mathcal{D}^+(\alpha)$ (or $\bf{D}^-(\alpha)$), based on the test statistic without $\Gamma$.

Details

See blocks for details how $\mathcal{I}_{app}$ is generated and modeHunting for a proper introduction to the notation used here. The function modeHuntingApprox computes $\mathcal{D}^\pm(\alpha)$ based on the two test statistics $T_n^+({\bf{X}}, \mathcal{I}_{app})$ and $T_n({\bf{X}}, \mathcal{I}_{app})$.

If min.int = TRUE, the set $\mathcal{D}^\pm(\alpha)$ is replaced by the set ${\bf{D}}^\pm(\alpha)$ of its minimal elements. An interval $J \in \mathcal{D}^\pm(\alpha)$ is called minimal if $\mathcal{D}^\pm(\alpha)$ contains no proper subset of $J$. This minimization post-processing step typically massively reduces the number of intervals. If we are mainly interested in locating the ranges of increases and decreases of $f$ as precisely as possible, the intervals in $\mathcal{D}^\pm(\alpha) \setminus \bf{D}^\pm(\alpha)$ do not contain relevant information.

References

Duembgen, L. and Walther, G. (2008). Multiscale Inference about a density. Ann. Statist., 36, 1758--1785.

Rufibach, K. and Walther, G. (2010). A general criterion for multiscale inference. J. Comput. Graph. Statist., 19, 175--190.

See Also

modeHunting, modeHuntingBlock, and cvModeApprox.

Examples

Run this code
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help("mode hunting")
## and check the examples there

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