Description Usage Arguments Value Author(s) References

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.

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`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) |

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 |

Xavier Collilieux, Emilie Lebarbier and Stephane Robin

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

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