CPAT: get_lrv_vec – R documentation

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get_lrv_vec

Long-Run Variance Estimation With Possible Change Points

Description

Computes the estimates of the long-run variance in a change point context, as described in (Rice et al. ). By default it uses kernel and bandwidth selection as used in the package cointReg, though changing the parameters kernel and bandwidth can change this behavior. If cointReg is not installed, the Bartlett internal (defined internally) will be used and the bandwidth will be the square root of the sample size.

Usage

get_lrv_vec(dat, kernel = "ba", bandwidth = "and")

Arguments

`dat`	The data vector
`kernel`	If character, the identifier of the kernel function as used in cointReg (see `getLongRunVar`); if function, the kernel function to be used for long-run variance estimation (default is the Bartlett kernel in cointReg)
`bandwidth`	If character, the identifier for how to compute the bandwidth as defined in cointReg (see `getBandwidth`); if function, a function to use for computing the bandwidth; if numeric, the bandwidth value to use (the default is to use Andrews' method, as used in cointReg)

Value

A vector of estimates of the long-run variance

References

Rice G, Miller C, Horváth L (????). “A new class of change point test of Rényi type.” in-press.

Examples

x <- rnorm(1000)
CPAT:::get_lrv_vec(x)
CPAT:::get_lrv_vec(x, kernel = "pa", bandwidth = "nw")

CPAT

Change Point Analysis Tests

v0.1.0

MIT + file LICENSE

Authors

Curtis Miller [aut, cre]

Initial release

2018-12-06