CPAT (version 0.1.0)

sim_de_stat: Darling-Erd<U+00F6>s Statistic Simulation

Description

Simulates multiple realizations of the Darling-Erd<U+00F6>s statistic.

Usage

sim_de_stat(size, a = log, b = log, use_kernel_var = FALSE,
  kernel = "ba", bandwidth = "and", n = 500, gen_func = rnorm,
  args = NULL, parallel = FALSE)

Arguments

size

Number of realizations to simulate

a

The function that will be composed wit \(l(x) = (2 \log(x))^{1/2}\)

b

The function that will be composed with \(u(x) = 2 \log(x) + \frac{1}{2} \log(\log(x)) - \frac{1}{2}\log(pi)\)

use_kernel_var

Set to TRUE to use kernel-based long-run variance estimation (FALSE means this is not employed)

kernel

If character, the identifier of the kernel function as used in the cointReg (see documentation for cointReg::getLongRunVar); if function, the kernel function to be used for long-run variance estimation (default is the Bartlett kernel in cointReg); this parameter has no effect if use_kernel_var is FALSE

bandwidth

If character, the identifier of how to compute the bandwidth as defined in the cointReg package (see documentation for cointReg::getLongRunVar); if function, a function to use for computing the bandwidth; if numeric, the bandwidth to use (the default behavior is to use the andrews91b;textualCPAT method, as used in cointReg); this parameter has no effect if use_kernel_var is FALSE

n

The sample size for each realization

gen_func

The function generating the random sample from which the statistic is computed

args

A list of arguments to be passed to gen_func

parallel

Whether to use the foreach and doParallel packages to parallelize simulation (which needs to be initialized in the global namespace before use)

Value

A vector of simulated realizations of the Darling-Erd<U+00F6>s statistic

Details

If use_kernel_var is set to TRUE, long-run variance estimation using kernel-based techniques will be employed; otherwise, a technique resembling standard variance estimation will be employed. Any technique employed, though, will account for the potential break points, as described in horvathricemiller19;textualCPAT. See the documentation for stat_de for more details.

The parameters kernel and bandwidth control parameters for long-run variance estimation using kernel methods. These parameters will be passed directly to stat_de.

References

Examples

# NOT RUN {
CPAT:::sim_de_stat(100)
CPAT:::sim_de_stat(100, use_kernel_var = TRUE,
                   gen_func = CPAT:::rchangepoint,
                   args = list(changepoint = 250, mean2 = 1))
# }