tests/testthat/examples/fastcpd_lm_1.R

In fastcpd: Fast Change Point Detection via Sequential Gradient Descent

if (requireNamespace("mvtnorm", quietly = TRUE)) {
  set.seed(1)
  n <- 300
  p <- 4
  x <- mvtnorm::rmvnorm(n, rep(0, p), diag(p))
  theta_0 <- rbind(c(1, 3.2, -1, 0), c(-1, -0.5, 2.5, -2), c(0.8, 0, 1, 2))
  y <- c(
    x[1:100, ] %*% theta_0[1, ] + rnorm(100, 0, 3),
    x[101:200, ] %*% theta_0[2, ] + rnorm(100, 0, 3),
    x[201:n, ] %*% theta_0[3, ] + rnorm(100, 0, 3)
  )
  result_lm <- fastcpd.lm(cbind(y, x))
  summary(result_lm)
  plot(result_lm)
}