wbsts (version 2.1)

finner_prod_maxp: The function finds the value which yields the maximum inner product (CUSUM) of a a time series located between \(100(1-p)\%\) and \(100p\%\) of its support

Description

This function is an internal C++ function wrapped by cr.rand.max.inner.prod.

Usage

finner_prod_maxp(x,p)

Arguments

x

A time series.

p

A scalar in (0.67,1]

Value

1

maximum cusum value

2

the location of a point with the maximum cusum value

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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

# NOT RUN {
#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))
##balanced
#finner_prod_maxp(z[,1],0.51)
##unbalanced
#finner_prod_maxp(z[,1],0.99)
# }