Description Details Author(s) References Examples
(See the Manual.pdf file in data folder for a detail description of all functions, and a walkthrough tutorial.)
This packages provides function to estimate multiple change points using marginal likelihood method proposed by Du, Kao and Kou (2015), which we would denoted as DKK2015 afterward. est.changepoints
estimates change-points. PlotChangePoints
plots. Other functions are for the normal and Poisson examples in DKK2015.
Package: | StepSignalMargiLike |
Type: | Package |
Version: | 2.5.9 |
Date: | 2017-8-22 |
License: | GNU GENERAL PUBLIC LICENSE Version 3, 29 June 2007 |
Chao Du, Chu-Lan Michael Kao, Samuel Kou
Maintainer: Chu-Lan Michael Kao <chulankao@gmail.com>
Chao Du, Chu-Lan Michael Kao and S. C. Kou (2016), "Stepwise Signal Extraction via Marginal Likelihood"
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | n <- 5
data.x <- rnorm(n, 1, 1)
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 2,1))
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 1,1))
data.t <- 1:(5*n)
prior <- prior.norm.A(data.x)
max.segs <- 10
index.ChPT <- est.changepoints(data.x, mode="normal", prior)
est.mean <- est.mean.norm(data.x, index.ChPT, prior)
PlotChangePoints(data.x, data.t, index.ChPT, est.mean)
PlotChangePoints(data.x, data.t, index.ChPT, est.mean, type.data="p",
col.data="green", col.est="black", main="Stepwise Signal Estimation",
sub="Using Marginal Likelihood", xlab="time", ylab="value")
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.