critical_values_multi

A dataset containing the critical value of SN-based change point estimates
based on simultaneous changes in multiple parameters.

datasets

Implementations self-normalization (SN) based algorithms for
change-points estimation in time series data. This comprises nested
local-window algorithms for detecting changes in both univariate and
multivariate time series developed in Zhao, Jiang and Shao (2022)
<doi:10.1111/rssb.12552>.

Zifeng Zhao

SNSeg

Self-Normalization(SN) Based Change-Point Estimation for Time
Series

Shubo Sun

Feiyu Jiang

Xiaofeng Shao

critical_values_multi function

A data frame with 7 variables:<dl>
<dt><code>epsilon</code></dt>
<dd>value used to compute grid_size_scale and SN-based
test statistic</dd><dt><code>p</code></dt>
<dd>dimension of the multi-parameters</dd><dt><code>0.9</code></dt>
<dd>critical value at confidence level <code>0.9</code></dd><dt><code>0.95</code></dt>
<dd>critical value at confidence level <code>0.95</code></dd><dt><code>0.99</code></dt>
<dd>critical value at confidence level <code>0.99</code></dd><dt><code>0.995</code></dt>
<dd>critical value at confidence level <code>0.995</code></dd><dt><code>0.999</code></dt>
<dd>critical value at confidence level <code>0.999</code></dd>
</dl>

Format

Critical Values of Self-Normalization (SN) based test statistic for changes
in multiple parameters (SNCP) — critical_values_multi

A data frame with 7 variables:<dl>
<dt><code>epsilon</code></dt>
<dd>value used to compute grid_size_scale and SN-based
test statistic</dd>

<dt><code>p</code></dt>
<dd>dimension of the multi-parameters</dd>

<dt><code>0.9</code></dt>
<dd>critical value at confidence level <code>0.9</code></dd>

<dt><code>0.95</code></dt>
<dd>critical value at confidence level <code>0.95</code></dd>

<dt><code>0.99</code></dt>
<dd>critical value at confidence level <code>0.99</code></dd>

<dt><code>0.995</code></dt>
<dd>critical value at confidence level <code>0.995</code></dd>

<dt><code>0.999</code></dt>
<dd>critical value at confidence level <code>0.999</code></dd>


</dl>

critical_values_multi: Critical Values of Self-Normalization (SN) based test statistic for changes in multiple parameters (SNCP)

Description

Usage

Arguments

Format