third.step.exhaustive.search: exhuastive search step (third step).

In VARDetect: Multiple Change Point Detection in Structural VAR Models

exhuastive search step (third step).

Description

Perform the exhaustive search to select the break point for each cluster.

Usage

third.step.exhaustive.search(
  data,
  q,
  max.iteration = 1000,
  tol = tol,
  pts.list,
  an,
  phi.est.full = NULL,
  phi.local.1 = NULL,
  phi.local.2 = NULL,
  blocks = NULL
)

Arguments

data	input data matrix, with each column representing the time series component
q	the AR order
max.iteration	max number of iteration for the fused lasso
tol	tolerance for the fused lasso
pts.list	the selected break points clustered by a_n after the second step
an	the neighborhood size a_n
phi.est.full	list of local parameter estimator
phi.local.1	a list of loca parameter estimator
phi.local.2	a list of loca parameter estimator
blocks	the blocks

Value

A list object, which contains the followings

pts

a set of final selected break point after the third exhaustive search step

VARDetect documentation built on May 10, 2022, 9:07 a.m.