compute.threshold {InspectChangepoint} | R Documentation |
Computing threshold used in inspect
Description
The threshold level to be used in inspect
is computed via Monte Carlo simulation of multivariate time series that do not contain any changepoints.
Usage
compute.threshold(n, p, nrep = 100, show_progress = TRUE)
Arguments
n |
Time length of the observation. |
p |
Dimension of the multivariate time series. |
nrep |
Number of Monte Carlo repetition to be used. |
show_progress |
whether to show the progress of Monte Carlo simulation |
Value
A numeric value indicating the threshold level that should be used based on the Monte Carlo simulation.
Examples
compute.threshold(n=200, p=50)
[Package InspectChangepoint version 1.2 Index]