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

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 after generating censored data from MA model.

Usage

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

# 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.