get_teststats {L2hdchange} | R Documentation |
Obtain the test statistics
Description
Obtain the test statistics
Usage
get_teststats(hdobj)
Arguments
hdobj |
An S3 object of class 'no_nbd' or 'nbd' generated
by |
Value
A list containing the test statistics \mathcal{\boldsymbol{Q}}_{n}
and a sequence of standardised |V_{i}|_{2}^{2}
.
References
Li, J., Chen, L., Wang, W. and Wu, W.B., 2022. \ell^2
Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM.
arXiv preprint arXiv:2208.13074.
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))
teststat <- get_teststats(ts_no_nbd)
[Package L2hdchange version 1.0 Index]