dataSinusoidal: Generating data from a sinusoidal model with changes

In DeCAFS: Detecting Changes in Autocorrelated and Fluctuating Signals

Generating data from a sinusoidal model with changes

Description

This function generates a sequence of observation from a sinusoidal model with changes. This can be used as an example for model misspecification.

Usage

dataSinusoidal(
  n,
  amplitude = 1,
  frequency = 0.001,
  phase = 0,
  sd = 1,
  type = c("none", "up", "updown", "rand1"),
  nbSeg = 20,
  jumpSize = 1
)

Arguments

n	The length of the sequence of observations.
amplitude	The amplitude of the sinusoid
frequency	The angular frequency of the sinusoid
phase	where the signal starts at time t = 0
sd	standard deviation of the noise added on top of the signal
type	Possible change scenarios for the jump structure (default: none)
nbSeg	Number of segments
jumpSize	Maximum magnitude of a change

Value

A list containing:

y

the data sequence,

signal

the underlying signal without the noise,

changepoints

the changepoint locations

Examples

Y <- dataSinusoidal(
  1e4,
  frequency = 1 / 1e3,
  amplitude = 10,
  type = "updown",
  jumpSize = 4,
  nbSeg = 4
)
res <- DeCAFS(Y$y)
plot(res, col = "grey")
lines(Y$signal, col = "blue", lwd = 2, lty = 2)
abline(v = res$changepoints, col = 2)
abline(v = Y$changepoints, col = 4, lty = 2)

DeCAFS documentation built on Jan. 6, 2023, 5:27 p.m.