scenarioGenerator

Generate a piecewise constant signal of a given length

Detect abrupt changes in time series with local fluctuations as a random walk process and autocorrelated noise as an AR(1) process. See Romano, G., Rigaill, G., Runge, V., Fearnhead, P. (2021) <doi:10.1080/01621459.2021.1909598>.

Gaetano Romano

DeCAFS

Detecting Changes in Autocorrelated and Fluctuating Signals

Guillem Rigaill

Vincent Runge

Paul Fearnhead

scenarioGenerator function

<dl><dt>n</dt>
<dd>The length of the sequence of observations.</dd>
<dt>type</dt>
<dd>Possible change scenarios for the jump structure</dd>
<dt>nbSeg</dt>
<dd>Number of segments</dd>
<dt>jumpSize</dt>
<dd>Maximum magnitude of a change</dd></dl>

Arguments

Generate a piecewise constant signal of a given length — scenarioGenerator

<dl>

<dt>n</dt>
<dd>The length of the sequence of observations.</dd>


<dt>type</dt>
<dd>Possible change scenarios for the jump structure</dd>


<dt>nbSeg</dt>
<dd>Number of segments</dd>


<dt>jumpSize</dt>
<dd>Maximum magnitude of a change</dd>

</dl>

scenarioGenerator: Generate a piecewise constant signal of a given length

Description

Usage

Value

Arguments

Examples