ecp (version 1.5.4)

sig.test: SIGNIFICANCE TEST

Description

Performs a permutation test.

Usage

sig.test(D, R, changes, min.size, obs)

Arguments

D

A n by n distnace matrix.

R

The number of permutations to use in the permutation test.

changes

The set of current change points.

min.size

Minimum number of observations between change points.

obs

Test statistic value for non-permuted data.

Value

• The returned value is the approximate p-value obtained by the permutation test. The permutaiton test is performed using the method outlined in Gandy (2009).

Details

Called by the e.divisive method, and should not be called by the user.

References

Matteson D.S., James N.A. (2013). A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data.

James N.A., Matteson D.S. (2013). ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data.

Gandy, A. (2009) "Sequential implementation of Monte Carlo tests with uniformly bounded resampling risk." Journal of the American Statistical Association.

Rizzo M.L., Szekely G.L. (2005). Hierarchical clustering via joint between-within distances: Extending ward's minimum variance method. Journal of Classification. pp. 151 - 183.

Rizzo M.L., Szekely G.L. (2010). Disco analysis: A nonparametric extension of analysis of variance. The Annals of Applied Statistics. pp. 1034 - 1055.

See Also

e.divisive