detection_check | R Documentation |
function for detection check
detection_check(pts.final, brk, nob, critval = 5)
pts.final |
a list of estimated change points |
brk |
the true change points |
nob |
length of time series |
critval |
critical value for selection rate. Default value is 5. Specifically, to compute the selection rate, a selected break point is counted as a “success” for the j-th true break point, t_j, if it falls in the interval [t_j - {(t_{j} - t_{j-1})}/{critval}, t_j + {(t_{j+1} - t_{j})}/{critval}], j = 1,…, m_0. |
a matrix of detection summary results, including the absolute error, selection rate and relative location. The absolute error of the locations of the estimated break points is defined as {error}_j =|tilde{t}_j^f - t_j|, j = 1,…, m_0.
# an example of 10 replicates result set.seed(1) nob <- 1000 brk <- c(333, 666, nob+1) cp.list <- vector('list', 10) for(i in 1:10){ cp.list[[i]] <- brk[1:2] + sample(c(-50:50),1) } # some replicate fails to detect all the change point cp.list[[2]] <- cp.list[[2]][1] cp.list[4] <- list(NULL) # setting 4'th element to NULL. # some replicate overestimate the number of change point cp.list[[3]] <- c(cp.list[[3]], 800) cp.list res <- detection_check(cp.list, brk, nob, critval = 5) res # use a stricter critical value res <- detection_check(cp.list, brk, nob, critval = 10) res
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