ggm.second.step.search: Exhaustive search step for gaussian graphical model.

In LinearDetect: Change Point Detection in High-Dimensional Linear Regression Models

Description

Perform the exhaustive search to "thin out" redundant break points.

Usage

ggm.second.step.search(
  data_y,
  data_x,
  max.iteration = max.iteration,
  tol = tol,
  cp.first,
  beta.est,
  blocks
)

Arguments

data_y	input data matrix, with each column representing the time series component
data_x	input data matrix, with each column representing the time series component
max.iteration	max number of iteration for the fused lasso
tol	tolerance for the fused lasso
cp.first	the selected break points after the first step
beta.est	the estiamted parameters by block fused lasso
blocks	the blocks

Value

A list oject, which contains the followings

cp.final

a set of selected break point after the exhaustive search step

beta.hat.list

the estimated coefficient matrix for each segmentation

LinearDetect documentation built on March 22, 2021, 9:06 a.m.