factorcpt (version 0.1.2)

make.tree: Growing a binary tree for change-point analysis

Description

Grows a binary tree of a given height for input panel data, with possible changes in the means of component series, using Double CUSUM statistics, where each node contains information about estimated change-points

Usage

make.tree(y, dw, rule = NULL)

Arguments

y

a matrix containing each component series as its rows

dw

see dw in factor.seg.alg

rule

see rule in factor.seg.alg

Value

References

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