local.refine.poly: Local refinement for univariate polynomials change point...

In changepoints: A Collection of Change-Point Detection Methods

Local refinement for univariate polynomials change point detection.

Description

Perform local refinement for univariate polynomials change point detection.

Usage

local.refine.poly(cpt_init, y, r, delta_lr)

Arguments

cpt_init	An integer vector of initial change points estimation (sorted in strictly increasing order).
y	A numeric vector of univariate time series.
r	An integer scalar order of polynomials.
delta_lr	A positive integer scalar of minimum spacing for local refinement.

Value

An integer vector of locally refined change point estimation.

Author(s)

Haotian Xu

References

Yu and Chatterjee (2020) <arXiv:2007.09910>

Examples

set.seed(0)
cpt_true = c(20, 50, 170)
y = rnorm(300) + c(rep(0,20),rep(2,30),rep(0,120),rep(2,130))
plot.ts(y)
gamma_set = 3:9
DP_result = CV.search.DP.poly(y, r = 2, gamma_set, delta = 5)
min_idx = which.min(DP_result$test_error)
cpt_init = unlist(DP_result$cpt_hat[min_idx])
local.refine.poly(cpt_init, y, r = 2, delta_lr = 5)

changepoints documentation built on Sept. 4, 2022, 5:06 p.m.