mosum.criticalValue function

MOSUM asymptotic critical value

Computes the asymptotic critical value for the MOSUM test.

mosum.criticalValue(n, G.left, G.right, alpha)

Arguments

• n: an integer value for the length of the input data
• G.left, G.right: integer values for the left and right moving sum bandwidth (G.left, G.right)
• alpha: a numeric value for the significance level with 0 <= alpha <= 1

Returns

a numeric value for the asymptotic critical value for the MOSUM test

Examples

x <- testData(lengths = rep(100, 3), means = c(0, 5, -2), sds = rep(1, 3), seed = 1234)$x
m <- mosum(x, G = 40)
par(mfrow = c(2, 1))
plot(m$stat, type = "l", xlab = "Time", ylab = "", main = "mosum")
abline(h = mosum.criticalValue(300, 40, 40, .1), col = 4)
abline(v = m$cpts, col = 2)
plot(m, display = "mosum") # identical plot is produced