bandwidths.default function

Default choice for the set of multiple bandwidths

Create bandwidths according to a default function of the sample size

bandwidths.default(n, d.min = 10, G.min = 10, G.max = min(n/2, n^(2/3)))

Arguments

• n: integer representing the sample size
• d.min: integer for the minimal mutual distance of change points that can be expected
• G.min: integer for the minimal allowed bandwidth
• G.max: integer for the maximal allowed bandwidth

Returns

an integer vector of bandwidths

Details

Returns an integer vector of bandwidths (G_1,...,G_m), with G_0 = G_1 = max(G.min, 2/3*d.min), G_j+1 = G_j-1 + G_j (for j = 1, ..., m-1) and m satisfying G_m <= G.max while G_m+1 > G.max.

Examples

bandwidths.default(1000, 10, 10, 200)

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) Two-stage data segmentation permitting multiscale change points, heavy tails and dependence. Annals of the Institute of Statistical Mathematics, Volume 74, Number 4, pp. 653-684.