break.var.lps: Auxiliary function to calculate loss at the estimated change...

In VARDetect: Multiple Change Point Detection in Structural VAR Models

Auxiliary function to calculate loss at the estimated change points

Description

Function to calculate loss function at the estimated change points

Usage

break.var.lps(data, pts, lambda, mu, alpha_L = 0.25)

Arguments

data	A n by p dataset, n is the number of observations, p is the number of variables
pts	a vector of change points
lambda	tuning parameter for sparse component
mu	tuning parameter for low-rank component
alpha_L	a positive number, indicating the value of constraint space of low rank component, default is 0.25

Value

A list object, including

L.n

Value of objective function

VARDetect documentation built on June 22, 2024, 10 a.m.