first.step.blocks.group: block fused sparse group lasso step (first step).

In VARDetect: Multiple Change Point Detection in Structural VAR Models

block fused sparse group lasso step (first step).

Description

Perform the block fused lasso to detect candidate break points.

Usage

first.step.blocks.group(
  data.temp,
  lambda.1.cv,
  lambda.2.cv,
  q,
  max.iteration = max.iteration,
  tol = tol,
  cv.index,
  blocks,
  group.case = "columnwise",
  group.index
)

Arguments

data.temp	input data matrix, with each column representing the time series component
lambda.1.cv	tuning parmaeter lambda_1 for fused lasso
lambda.2.cv	tuning parmaeter lambda_2 for fused lasso
q	the AR order
max.iteration	max number of iteration for the fused lasso
tol	tolerance for the fused lasso
cv.index	the index of time points for cross-validation
blocks	the blocks
group.case	group sparse pattern: column, row.
group.index	group index for group sparse case

Value

A list object, which contains the followings

brk.points

a set of selected break point after the first block fused lasso step

cv

the cross validation values for tuning parmeter selection

cv1.final

the selected lambda_1

cv2.final

the selected lambda_2

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