GetBestBreak | R Documentation |

Finds the single best change point according to the likelihood function. Used internally within `WindowSweep`

.

GetBestBreak(x, t, range = 0.6, ...)

`x` |
vector of time series values. |

`t` |
vector of times of measurements associated with x. |

`range` |
of possible breaks. Default (0.6) runs approximately from 1/5 to 4/5 of the total length of the time series. |

`...` |
additional parameters to pass to |

returns a single row (vector) with elements: `breaks`

,`tbreaks`

,`mu1`

,`sigma1`

,`rho1`

,`LL1`

,`mu2`

,`sigma2`

,`rho2`

,`LL2`

,`LL`

. The breakpoint is calculated for a range of possible values of width `range*l`

(where `l`

is the length of the time series). The output of this function feeds `WindowSweep`

.

Eliezer Gurarie

`WindowSweep`

which uses it, and `GetDoubleL`

for the likelihood estimation.

# An example with a single break: x <- c(arima.sim(list(ar = 0.9), 20) + 10, arima.sim(list(ar = 0.1), 20)) t <- 1:length(x) plot(t,x, type="l") (bb <- GetBestBreak(x,t, tau=FALSE)) abline(v = bb[2], col=2)

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