cpt_consistent_var {CPAT} | R Documentation |
Variance Estimation Consistent Under Change
Description
Estimate the variance (using the sum of squared errors) with an estimator that is consistent when the mean changes at a known point.
Usage
cpt_consistent_var(x, k)
Arguments
x |
A numeric vector for the data set |
k |
The potential change point at which the data set is split |
Details
This is the estimator
where and
. In this implementation,
is
computed automatically as
length(x)
and k
corresponds to
, a potential change point.
Value
The estimated change-consistent variance
Examples
CPAT:::cpt_consistent_var(c(rnorm(500, mean = 0), rnorm(500, mean = 1)), k = 500)
[Package CPAT version 0.1.0 Index]