detectBinary: Change point detection using PCA and binary segmentation

In detectR: Change Point Detection

Change point detection using PCA and binary segmentation

Description

This function uses PCA-based method to find breaks. Simultaneous breaks are found from binary segmentation.

Usage

detectBinary(
  Y,
  Del,
  L,
  q = "fixed",
  alpha = 0.05,
  nboot = 199,
  n.cl,
  bsize = "log",
  bootTF = TRUE,
  scaleTF = TRUE,
  diagTF = TRUE,
  plotTF = TRUE
)

Arguments

Y	data: Y = length*dim
Del	Delta away from the boundary restriction
L	the number of factors
q	methods in calculating long-run variance of the test statistic. Default is "fixed" = length^(1/3). Adaptive selection method is also available via "andrews", or user specify the length
alpha	significance level of the test
nboot	the number of bootstrap sample for p-value. Default is 199.
n.cl	number of cores in parallel computing. The default is (machine cores - 1)
bsize	block size for the Block Wild Bootstrapping. Default is log(length), "sqrt" uses sqrt(length), "adaptive" determines block size using data dependent selection of Andrews
bootTF	determine whether the threshold is calculated from bootstrap or asymptotic
scaleTF	scale the variance into 1
diagTF	include diagonal term of covariance matrix or not
plotTF	Draw plot to see test statistic and threshold

Value

tstathist The complete history of test statistics.

Brhist The sequence of breakpoints found from binary splitting

L The number of factors used in the procedure

q The estimated vectorized autocovariance on each regime.

crit The critical value to identify change point

bsize The block size of the bootstrap

diagTF If TRUE, the diagonal entry of covariance matrix is used in detecting connectivity changes.

bootTF If TRUE, bootstrap is used to find critical value

scaleTF If TRUE, the multivariate signal is studentized to have zero mean and unit variance.

Examples

out3= detectBinary(changesim, L=2, n.cl=1)

detectR documentation built on June 22, 2024, 12:23 p.m.