var.second.step.search: Exhaustive search step

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

Description

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

Usage

var.second.step.search(
  data_y,
  q,
  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
q	the AR order
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 estimated parameters by block fused lasso
blocks	the blocks

Value

A list object, which contains the followings

cp.final

a set of selected break point after the exhaustive search step

phi.hat.list

the estimated coefficient matrix for each segmentation

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