plot_SKFCPD: Plot for SKFCPD model

In SKFCPD: Fast Online Changepoint Detection for Temporally Correlated Data

Plot for SKFCPD model

Description

Function to make plots on SKFCPD models after the SKFCPD model has been constructed.

Usage

plot_SKFCPD(x, type = "cp")

Arguments

x	an object of class SKFCPD.
type	A character specifying the type of plot. cp plots the data with estimated changepoints marked in red crossings. run_length_posterior plots the matrix of run length posterior distribution.

Value

Two plots: (1) plot of data with the red dashed lines mark the estimated changepoint locations, and (2) plot of the run length posterior distribution matrix. For multidimensional data, only the first dimension is plotted.

Author(s)

Hanmo Li [aut, cre], Yuedong Wang [aut], Mengyang Gu [aut]

Maintainer: Hanmo Li <[e-mail]>

References

Li, Hanmo, Yuedong Wang, and Mengyang Gu. Sequential Kalman filter for fast online changepoint detection in longitudinal health records. arXiv preprint arXiv:2310.18611 (2023).

Examples

  library(SKFCPD)
  
  #------------------------------------------------------------------------------
  # Example: fast online changepoint detection with DEPENDENT data.
  # 
  # Data generation: Data follows a multidimensional Gaussian process with Matern 2.5 kernel.
  #------------------------------------------------------------------------------
  # Data Generation
  set.seed(1)
  
  n_obs = 150
  n_dim = 2
  seg_len = c(70, 30, 20,30)
  mean_each_seg = c(0,1,-1,0)
  
  x_mat=matrix(1:n_obs)
  y_mat=matrix(NA, nrow=n_obs, ncol=n_dim)
  
  gamma = rep(5, n_dim) # range parameter of the covariance matrix
  
  # compute the matern 2.5 kernel
  construct_cor_matrix = function(input, gamma){
    n = length(input)
    R0=abs(outer(input,(input),'-'))
    matrix_one = matrix(1, n, n)
    const = sqrt(5) * R0 / gamma
    Sigma = (matrix_one + const + const^2/3) * (exp(-const))
    return(Sigma)
  }
  
  for(j in 1:n_dim){
    y_each_dim = c()
    for(i in 1:length(seg_len)){
      nobs_per_seg = seg_len[i]
      Sigma = construct_cor_matrix(1:nobs_per_seg, gamma[j])
      L=t(chol(Sigma))
      theta=rep(mean_each_seg[i],nobs_per_seg)+L%*%rnorm(nobs_per_seg)
      y_each_dim = c(y_each_dim, theta+0.1*rnorm(nobs_per_seg))
    }
    y_mat[,j] = y_each_dim
  }
  
  ## Detect changepoints by SKFCPD
  Online_CPD_1 = SKFCPD(design = x_mat,
                        response = y_mat,
                        train_prop = 1/3)
  
  ## visulize the results
  plot_SKFCPD(Online_CPD_1)

SKFCPD documentation built on June 22, 2024, 11:06 a.m.