View source: R/fastcpd_wrappers.R
fastcpd_ar | R Documentation |
p
) modelsfastcpd_ar()
and fastcpd.ar()
are
wrapper functions of fastcpd()
to find change points in
AR(p
) models. The function is similar to fastcpd()
except that
the data is by default a one-column matrix or univariate vector
and thus a formula is not required here.
fastcpd_ar(data, order = 0, ...)
fastcpd.ar(data, order = 0, ...)
data |
A numeric vector, a matrix, a data frame or a time series object. |
order |
A positive integer specifying the order of the AR model. |
... |
Other arguments passed to |
A fastcpd object.
fastcpd()
set.seed(1)
n <- 1000
x <- rep(0, n + 3)
for (i in 1:600) {
x[i + 3] <- 0.6 * x[i + 2] - 0.2 * x[i + 1] + 0.1 * x[i] + rnorm(1, 0, 3)
}
for (i in 601:1000) {
x[i + 3] <- 0.3 * x[i + 2] + 0.4 * x[i + 1] + 0.2 * x[i] + rnorm(1, 0, 3)
}
result <- fastcpd.ar(x[3 + seq_len(n)], 3)
summary(result)
plot(result)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.