[R] nproc parameter in efpFunctional

bonda bonda at hsu-hh.de
Fri Nov 4 11:27:12 CET 2011


The 2006 CSDA paper is really very informative, perhaps, I'm trying to
understand the things lying beyond. If we have e.g. k=3, then taking nproc=3
for the functional maxBB we get a critical value (boundary)

maxBB$computeCritval(0.05,nproc=3)
[1] 1.544421,

and this for nproc=NULL (Bonferroni approximation) will be

maxBB$computeCritval(0.05)
[1] 1.358099.

Aggregating 3 Brownian bridges first over components, we obtain time series
process. Now, we wonder if maximum value of the process (aggregation over
time) lies over boundary. Which boundary - 1.544421 or 1.358099 - should one
take? They look too different and, for instance, lead to "unfair computing"
of empirical size (as rejection rate of null hypothesis) or empirical power
(as acception rate of alternative). 




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