F_FASeg: Joint Segmentation of Set of Correlated Time-Series In FASeg: Joint Segmentation of Correlated Time Series

Description

This function is dedicated to the joint segmentation (the segmentation is series-specific) in the mean of several correlated series. The form of the correlation is assumed to be arbitrary and we propose to model it with a factor model. A EM algorithm is used to estimate the parameters. A model selection procedure is also proposed to determine both the number of breakpoints and the number of factors.

Usage

 `1` ```F_FASeg(Y, uniKmax, multiKmax, qmax, selection, WithoutCorr) ```

Arguments

 `Y` Data frame, with size [(n*M) x 3], which contains the data and other informations, n is the length of each series and M is the number of series `uniKmax` Maximal number of segments per series (uniKmax will be lower or equal to n) `multiKmax` Maximal number of segments for all the series (multiKmax will be greater or equal to M) `qmax` Maximal number of factors (qmax will be lower or equal to M-1) (default qmax=M-1). If qmax=0 then a joint segmentation with multiKmax segments and without taking into account the correlation between series is performed `selection` A logical value indicating if the selection of the number of segments K and the number of factors Q is performed (default=TRUE). If it is TRUE, K and Q are selected; if it is FALSE, K is fixed to multiKmax and Q is fixed to qmax `WithoutCorr` A logical value indicating if, when K and Q are selected, the joint segmentation without taking into account the correlation between series is also a possible solution in the selection (default=FALSE)

Value

Contains the following attributes:

 `SelectedK` Selected number of segments for all the series if selection=TRUE, the number of segments fixed by the user otherwise (K=multiKmax) `Selectedq` Selected number of factors if selection=TRUE, the number of factors fixed by the user otherwise (Q=qmax) `SelectedSigma` Estimation of the covariance matrix Sigma `SelectedPsi` Estimation of the matrix Psi `SelectedB` Estimation of the matrix of coefficients B `SelectedZ` Estimation of the latent vectors Z `SelectedSeg` Optimal segmentation with a selected or fixed value of the number of segments and the number of factors

Author(s)

Xavier Collilieux, Emilie Lebarbier and Stephane Robin

References

A factor model approach for the joint segmentation with between-series correlation (arXiv:1505.05660)

FASeg documentation built on May 2, 2019, 3:26 a.m.