confint.mosum.cpts {mosum}

Confidence intervals for change points

Description

Generate bootstrap confidence intervals for change points.

Usage

## S3 method for class 'mosum.cpts'
confint(object, parm = "cpts", level = 0.05, N_reps = 1000, ...)

Arguments

object

an object of class mosum.cpts

parm

specification of which parameters are to be given confidence intervals; parm = "cpts" is supported

level

numeric value in (0, 1), such that the 100(1-level)% confidence bootstrap intervals are computed

N_reps

number of bootstrap replications

...

not in use

Details

See the referenced literature for further details

Value

S3 object of class cpts.ci, containing the following fields:

level, N_reps

input parameters

CI

data frame of five columns, containing the estimated change points (column cpts), the pointwise confidence intervals (columns pw.left and pw.right) and the uniform confidence intervals (columns unif.left and unif.right) for the corresponding change points

References

A. Meier, C. Kirch and H. Cho (2021) mosum: A Package for Moving Sums in Change-point Analysis. Journal of Statistical Software, Volume 97, Number 8, pp. 1-42. <doi:10.18637/jss.v097.i08>.

H. Cho and C. Kirch (2022) Bootstrap confidence intervals for multiple change points based on moving sum procedures. Computational Statistics & Data Analysis, Volume 175, pp. 107552.

Examples

x <- testData(lengths = rep(100, 3), means = c(0, 3, 1), sds = rep(1, 3), seed = 1337)$x
m <- mosum(x, G = 40)
ci <- confint(m, N_reps = 5000)
print(ci$CI)