PELT.MV: Most recent changepoints from MV method.

In cpcens: Changepoint Analysis using Censored Time Series Data

Description

Detecting most recent changepoints from MV methd (Lavielle and Teyssiere, 2006) deal with multivariate data which is modeling the data within each segment as a multivariate (MV) Gaussian having a given covariance.

Usage

PELT.MV(data, beta = 101 * log(dim(data)[2]))

Arguments

data	a censored data matrix.
beta	default 101*log(dim(data)[2])). Here dim(data)[2] means consider size(length) of series (n).

Value

indicates the most recent changepoint in each series .

Examples

# example
library(cpcens)
data("censoredex")
data=censoredex
N=100
n=144
pmv = PELT.MV( data , 101*log(dim(data)[2]) )
mv.chpts =  rep( rev( pmv$cpts )[1] , N )

cpcens documentation built on Aug. 2, 2019, 5:05 p.m.