break.var.local.new: Compute local loss function.

In VARDetect: Multiple Change Point Detection in Structural VAR Models

Compute local loss function.

Description

Compute local loss function.

Usage

break.var.local.new(
  method = "sparse",
  data,
  eta,
  q,
  max.iteration = 1000,
  tol = 10^(-4),
  pts,
  an,
  group.case = "columnwise",
  group.index = NULL
)

Arguments

method	method: sparse, group sparse
data	input data matrix, with each column representing the time series component
eta	tuning parameter eta for lasso
q	the AR order
max.iteration	max number of iteration for the fused lasso
tol	tolerance for the fused lasso
pts	the selected break points after the first step
an	the neighborhood size a_n
group.case	group sparse pattern: columnwise, rowwise.
group.index	group index for group sparse case

Value

A list oject, which contains the followings

L.n.1

A vector of loss functions that include some break point

L.n.2

A vector of loss functions that exclude some break point

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