Displaying 1 result from an estimated 1 matches for "cusumsim".
2004 Sep 04
0
Non-Markovian Behaviour of a Cusum?
...this in both S-Plus 6.1 and R
1.9.1 with apparently independently programmed versions of this with
different seeds and different random number generators, and I got a hint
of this behavior in a small sample test in Excel.
What am I missing?
Thanks,
spencer graves
##SCRIPT:
CusumSim <- function(offset=-0.1, FIR=4.5, maxTime=500, nSims=10000){
# Simulate nSims simultaneous Cusums of length maxTime
# Q[i] <- max(0, Q[i-1]+z[i]), z[i] ~ N(offset, 1),
# Q[0] = FIR
# Store only the mean of Q[i] for each i
Qmean <- rep(NA, maxTime)
Q <- rep(FIR, nSims)
for(i in 1:m...