simulate_estimation {decp}

Simulate Estimation

Description

The estimation of the detected change point.

Usage

simulate_estimation(
  lambda1,
  lambda2,
  term1,
  term2,
  num_simulations,
  num_iterations
)

Arguments

lambda1

Eigenvalues of the first segment.

lambda2

Eigenvalues of the second segment.

term1

The negative drift term of the left hand side of the random walk.

term2

The negative drift term of the right hand side of the random walk.

num_simulations

Specifies the number of simulations to be conducted during the estimation process. It is recommended to set num_simulations to a large value to ensure greater certainty and reliability of the results. A higher number of simulations helps in capturing the variability and improves the accuracy of the estimation.

num_iterations

Determines the size of the two-sided random walk in the estimation process (each path). If the jump size of the change point is small, num_iterations should be set to higher values to achieve accurate results. For jump size >= 1, the default value is 100.

Value

A numeric vector of the estimation results centered around zero. The spike of the histogram is represents estimated change point, and it is expected to be at zero.

Examples

# Example usage
lambda1 <- rnorm(10)
lambda2 <- rnorm(10)
term1 <- -1
term2 <- -2
result <- simulate_estimation(lambda1, lambda2, term1, term2, 
                               num_iterations = 100, num_simulations = 100)