Helper function to find tb from the Phillips and Shi (2020)

This function helps to find the number of observations in the window over which size is to be controlled.

Usage

ps_tb(n, freq = c("monthly", "quarterly", "annual", "weekly"), size = 2)

Arguments

n: A positive integer. The sample size.
freq: The type of date-interval.
size: The size to be controlled.

References

Phillips, P. C., & Shi, S. (2020). Real time monitoring of asset markets: Bubbles and crises. In Handbook of Statistics (Vol. 42, pp. 61-80). Elsevier.

Shi, S., Hurn, S., Phillips, P.C.B., 2018. Causal change detection in possibly integrated systems: Revisiting the money-income relationship.

Examples

# Training window controlling size over a 2-year span of monthly data
tb <- ps_tb(100, freq = "monthly", size = 2)
tb
#> [1] 42

# \donttest{
# Use it directly as monitor()'s training window
monitor(sim_data, r_star = tb, boundary = "kurozumi")
#> 
#> ── monitor (T* = 42 / 100, minw = 19, level = 95%, boundary = kurozumi) ────────
#> 
#>   series  boundary  alarm  alarm_date
#>     psy1     1.038     50          50
#>     psy2     1.038     NA        <NA>
#>    evans     1.038     NA        <NA>
#>      div     1.038     NA        <NA>
#>     blan     1.038     NA        <NA>
#> 
# }