mosum.pValue

Computes the asymptotic p-value for the MOSUM test.

internal

Implementations of MOSUM-based statistical procedures and algorithms for detecting multiple changes in the mean. This comprises the MOSUM procedure for estimating multiple mean changes from Eichinger and Kirch (2018) <doi:10.3150/16-BEJ887> and the multiscale algorithmic extension from Cho and Kirch (2022) <doi:10.1007/s10463-021-00811-5>, as well as the bootstrap procedure for generating confidence intervals about the locations of change points as proposed in Cho and Kirch (2022) <doi:10.1016/j.csda.2022.107552>. See also Meier, Kirch and Cho (2021) <doi:10.18637/jss.v097.i08> which accompanies the R package.

Haeran Cho

mosum

Moving Sum Based Procedures for Changes in the Mean

Alexander Meier

Claudia Kirch

mosum.pValue function

<dl><dt>z</dt>
<dd>a numeric value for the observation</dd>
<dt>n</dt>
<dd>an integer value for the length of the input data</dd>
<dt>G.left, G.right</dt>
<dd>integer values for the left moving sum bandwidth (G.left,G.right)</dd></dl>

Arguments

MOSUM asymptotic p-value — mosum.pValue

<dl>

<dt>z</dt>
<dd>a numeric value for the observation</dd>


<dt>n</dt>
<dd>an integer value for the length of the input data</dd>


<dt>G.left, G.right</dt>
<dd>integer values for the left moving sum bandwidth (G.left,G.right)</dd>

</dl>

mosum.pValue: MOSUM asymptotic p-value

Description

Usage

Value

Arguments