View source: R/locate.change.R
locate.change.missing | R Documentation |
Single changepoint estimation with missing data
locate.change.missing( x, lambda, standardize.series = FALSE, view.cusum = FALSE )
x |
A (p x n) data matrix of multivariate time series, each column represents a data point |
lambda |
Regularisation parameter. If no value is supplied, the dafault value is chosen to be sqrt(log(log(n)*p/2)) for p and n number of rows and columns of the data matrix x respectively. |
standardize.series |
Whether the given time series should be standardised before estimating the projection direction. Default is FALSE, i.e. the input series is assume to have variance 1 in each coordinate. |
view.cusum |
Whether to show a plot of the projected CUSUM series |
A list of two items:
changepoint - A single integer value estimate of the changepoint location is returned. If the estimated changepoint is z, it means that the multivariate time series is piecewise constant up to z and from z+1 onwards.
cusum - The maximum absolute CUSUM statistic of the projected univariate time series associated with the estimated changepoint.
vector.proj - the vector of projection, which is proportional to an estimate of the vector of change.
Wang, T., Samworth, R. J. (2016) High-dimensional changepoint estimation via sparse projection. Arxiv preprint: arxiv1606.06246.
n <- 2000; p <- 1000; k <- 32; z <- 400; vartheta <- 0.12; sigma <- 1; shape <- 3 noise <- 0; corr <- 0 obj <- single.change(n,p,k,z,vartheta,sigma,shape,noise,corr) x <- obj$x locate.change(x)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.