dcbs.thr {hdbinseg}

Bootstrapping for threshold selection in DCBS algorithm

Description

Generate thresholds for DCBS algorithm via bootstrapping

Usage

dcbs.thr(
  z,
  interval = c(1, dim(z)[2]),
  phi = 0.5,
  cp.type = 1,
  do.clean.cp = FALSE,
  temporal = TRUE,
  scales = NULL,
  diag = FALSE,
  sgn = NULL,
  B = 1000,
  q = 0.01,
  do.parallel = 4
)

Arguments

z

input data matrix, with each row representing the component time series

interval

a vector of two containing the start and the end points of the interval from which the bootstrap test statistics are to be calculated

phi, cp.type, temporal, scales, diag, B, q, do.parallel

see dcbs.alg

do.clean.cp

if do.clean.cp = TRUE pre-change point cleaning is performed

sgn

if diag = FALSE, wavelet transformations of the cross-covariances are computed with the matching signs

Value

a numeric value for the threshold