est_hdchange {L2hdchange}

Construct an S3 class 'no_nbd' or 'nbd' for change-point estimation

Description

Construct an S3 class 'no_nbd' or 'nbd' for change-point estimation

Usage

est_hdchange(hdobj, test_stats, threshold, stat_all, critical_values)

Arguments

hdobj

An S3 object of class 'no_nbd' or 'nbd' generated by ts_hdchange().

test_stats

A list containing the test statistics generated by get_teststats().

threshold

The threshold in break estimation.

stat_all

An array of test statistics generated by get_V_l2_MAinf().

critical_values

An array of quantiles for critical values.

Value

An S3 object of class 'no_nbd' or 'nbd' used as the argument of get_breaks().

Examples

# generate data
data_no_nbd <- sim_hdchange_no_nbd(n = 200,
p = 30,
S = 30,
tau = c(40, 100, 160),
dist_info =
  list(dist = "normal", dependence = "MA_inf", param = 1),
jump_max = c(2, 2, 1.5))

# construct no_nbd object
ts_no_nbd <- ts_hdchange(data_no_nbd,
window_size = 30,
m = 8,
h = 1,
N_rep = 999,
alpha = 1e-5,
quantiles = c(0.01, 0.05, 0.1))

teststats <- get_teststats(ts_no_nbd)
V_12_MAinf <- get_V_l2_MAinf(ts_no_nbd)

estobj <- est_hdchange(hdobj = ts_no_nbd, test_stats = teststats$stat_max,
threshold = 1e-5, stat_all = V_12_MAinf, critical_values = c(0.01, 0.05, 0.1))