second.step.detect: Backward elimination algorithm for screening in the second...
In VARDetect: Multiple Change Point Detection in Structural VAR Models

second.step.detect

R Documentation

Backward elimination algorithm for screening in the second step

Backward elimination algorithm function for screening

second.step.detect(
  data,
  pts,
  omega,
  lambda,
  mu,
  alpha_L = 0.25,
  verbose = FALSE
)

`data`	a n by p dataset matrix
`pts`	a vector includes all candidate change points obtained by the first step
`omega`	tuning parameter for the information criterion function
`lambda`	tuning parameter for sparse component estimation
`mu`	tuning parameter for low rank component estimation
`alpha_L`	a numeric value, indicates the size of constraint space of low rank component
`verbose`	if TRUE, then it provides all information for current stage