simu.VAR1

Simulate data of size n and dimension p from a VAR1 model (without change point) with Gaussian i.i.d. error terms.

Performs a series of offline and/or online change-point detection algorithms for 1) univariate mean: <doi:10.1214/20-EJS1710>, <arXiv:2006.03283>; 2) univariate polynomials: <doi:10.1214/21-EJS1963>; 3) univariate and multivariate nonparametric settings: <doi:10.1214/21-EJS1809>, <doi:10.1109/TIT.2021.3130330>; 4) high-dimensional covariances: <doi:10.3150/20-BEJ1249>; 5) high-dimensional networks with and without missing values: <doi:10.1214/20-AOS1953>, <arXiv:2101.05477>, <arXiv:2110.06450>; 6) high-dimensional linear regression models: <arXiv:2010.10410>, <arXiv:2207.12453>; 7) high-dimensional vector autoregressive models: <arXiv:1909.06359>; 8) high-dimensional self exciting point processes: <arXiv:2006.03572>; 9) dependent dynamic nonparametric random dot product graphs: <arXiv:1911.07494>; 10) univariate mean against adversarial attacks: <arXiv:2105.10417>.

Haotian Xu

changepoints

A Collection of Change-Point Detection Methods

Oscar Padilla

Daren Wang

Mengchu Li

Qin Wen

simu.VAR1 function

<dl><dt>sigma</dt>
<dd>A <code>numeric</code> scalar representing the standard deviation of error terms.</dd>
<dt>p</dt>
<dd>An <code>integer</code> scalar representing dimension.</dd>
<dt>n</dt>
<dd>An <code>integer</code> scalar representing sample size.</dd>
<dt>A</dt>
<dd>A <code>numeric</code> p-by-p matrix representing the transition matrix of the VAR1 model.</dd>
<dt>vzero</dt>
<dd>A <code>numeric</code> vector representing the observation at time 0. If <code>vzero = NULL</code>,it is generated following the distribution of the error terms.</dd></dl>

Arguments

Author

Simulate from a VAR1 model (without change point). — simu.VAR1

<dl>

<dt>sigma</dt>
<dd>A <code>numeric</code> scalar representing the standard deviation of error terms.</dd>


<dt>p</dt>
<dd>An <code>integer</code> scalar representing dimension.</dd>


<dt>n</dt>
<dd>An <code>integer</code> scalar representing sample size.</dd>


<dt>A</dt>
<dd>A <code>numeric</code> p-by-p matrix representing the transition matrix of the VAR1 model.</dd>


<dt>vzero</dt>
<dd>A <code>numeric</code> vector representing the observation at time 0. If <code>vzero = NULL</code>,it is generated following the distribution of the error terms.</dd>

</dl>

simu.VAR1: Simulate from a VAR1 model (without change point).

Description

Usage

Value

Arguments

Author

References

Examples