IMCMR Example 8.3, 8.4

[szcf-weiya]

[szcf-weiya]

with scale = 0.1, all test passed,

Fraction in 1st window = 0.1
Fraction in 2nd window = 0.5 

  var1 
0.6041 

                                   
     Stationarity start     p-value
     test         iteration        
var1 passed       1         0.857  
                             
     Halfwidth Mean Halfwidth
     test                    
var1 passed    1.76 0.00234  

with scale = 0.9, the halfwidth test failed,

Fraction in 1st window = 0.1
Fraction in 2nd window = 0.5 

 var1 
1.584 

                                   
     Stationarity start     p-value
     test         iteration        
var1 passed       1         0.259  
                              
     Halfwidth Mean  Halfwidth
     test                     
var1 failed    0.712 2.05     

note that the pdf when x>0 in the lower left-hand side is nonzero

[szcf-weiya]

[szcf-weiya]

note that the right-hand side density is (seems to be) based on all replicas.