factorcpt (version 0.1.2)

idio.null.stat: Threshold selection for the idiosyncratic components

Description

Implements the stationary bootstrap procedure, which generates thresholds that are used for multiple change-point detection in the idiosyncratic components. It is internally called for by idio.seg and inherits all its arguments.

Usage

idio.null.stat(mat, p, B, hat.vep, diag, scales, mby, tby, do.parallel)

Arguments

mat

a matrix containing the nodes of a binary tree grown for change-point analysis from the estimated idiosyncratic component

p

reciprocals of the average block size for the factors

B

the number of bootstrap samples

hat.vep

estimated idiosyncratic components

diag

see idio.diag in factor.seg.alg

scales

see scales in factor.seg.alg

mby

see dmby in func_dc_by

tby

see dtby in func_dc_by

do.parallel

see do.parallel in factor.seg.alg

Value

B values approximating the test statistics under the stationarity over the segments of consideration in the binary tree (defined by the nodes contained in mat).

References

M. Barigozzi, H. Cho and P. Fryzlewicz (2016) Simultaneous multiple change-point and factor analysis for high-dimensional time series, Preprint.