testSignal function

Piecewise constant test signal

Produce vectors of mean and dispersion values for generating piecewise stationary time series.

testSignal(
  model = c("custom", "blocks", "fms", "mix", "stairs10", "teeth10")[1],
  lengths = NULL,
  means = NULL,
  sds = NULL
)

Arguments

• model: a string indicating from which model a realisation is to be generated; possible values are "custom" (for user-specified model using lengths, means and sds), and "blocks", "fms", "mix", "stairs10", "teeth10" (for the referenced test signals)
• lengths: use iff model = "custom"; an integer vector for the lengths of the piecewise stationary segments
• means: use iff model = "custom"; a numeric vector for the means of the piecewise stationary segments
• sds: use iff model = "custom"; a numeric vector for the deviation scaling of the piecewise stationary segments.

Returns

a list containing the following entries:

• mu_tmean vector of piecewise stationary model time series
• sigma_tdeviation scaling vector of piecewise stationary model time series

Details

See Appendix B in the reference for details about the test signals.

References

P. Fryzlewicz (2014) Wild Binary Segmentation for Multiple Change-Point Detection. The Annals of Statistics, Volume 42, Number 6, pp. 2243-2281.