wbsts (version 2.1)

multi_across_fip: The value that maximises the random CUSUM statistic across all the scales (C++ version)

Description

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

Usage

multi_across_fip(X,M,min_draw,tau,p,epp,Ts)

Arguments

X

The wavelet periodogram.

Ts

The sample size of the series.

tau

The CUSUM threshold at each scale.

min_draw

Minimal size of a single draw.

epp

A minimum adjustment for the bias present in \(E^{(i)}_{t,T}\).

M

Number of random CUSUM to be generated.

p

A scalar in (0.67,1]

Value

1

Candidate change point

2

The maximum CUSUM value

3

The starting point \(s\) of the favourable draw

4

The ending point \(e\) of the favourable draw

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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))
#out=multi_across_fip(X=z, M=1000, min_draw=100,
#tau=tau.fun(y), p=c(.95,.95),epp=rep(32,5),Ts= length(y))
# }