second.step.local: local screening step (second step).

In VARDetect: Multiple Change Point Detection in Structural VAR Models

local screening step (second step).

Description

Perform the local screening to "thin out" redundant break points.

Usage

second.step.local(
  method = "sparse",
  data,
  eta,
  q,
  max.iteration = 1000,
  tol = 10^(-4),
  pts,
  an,
  phi.est.full = NULL,
  blocks = NULL,
  use.BIC = FALSE,
  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
phi.est.full	parameter matrix
blocks	a vector of blocks
use.BIC	use BIC for k-means part
group.case	group sparse pattern: columnwise, rowwise.
group.index	group index for group sparse case

Value

A list object, which contains the followings

pts

a set of selected break point after the second local screening step

omega

the selected Omega value

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