PELT.MVma: Most recent changepoints from MV method using censored MA...

Description Usage Arguments Value See Also Examples

View source: R/mv(MA).R

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 after generating censored data from MA model.

Usage

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

Arguments

data

a censored data matrix obtained from MA1.data .

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 .

See Also

MA1.data

Examples

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# example
library(cpcens)
# The size of series(n) shoul be greater than 200.
sim=MA1.data(n = 500, N = 100, K = 5, eps = 1,
 rho = 0.6, mu = 0, siga = 1, rates = c(NA, 0.2), Mrate = 0)
data=sim$data
N=100
pmv = PELT.MVma( data , 101*log(dim(data)[2]) )
mv.chpts =  rep( rev( pmv$cpts )[1] , N )

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