backward.selection: Backward selection function for the second screening step

In VARDetect: Multiple Change Point Detection in Structural VAR Models

Backward selection function for the second screening step

Description

Backward elimination algorithm

Usage

backward.selection(data, pts, lambda, mu, alpha_L = 0.25)

Arguments

data	A n by p dataset matrix
pts	A numeric vector, which includes all candidate change points obtained from the first step
lambda	Tuning parameter for sparse component
mu	Tuning parameter for low-rank component
alpha_L	Constraint space for low rank component, default is 0.25

Value

A list object, containing

L.n

Value of objective function

L.n.current

Current value of objective function

VARDetect documentation built on May 10, 2022, 9:07 a.m.