Nothing
#' @export
#' @references Stephen J. Ganocy and Jiayang Sun (2014), "Heteroscedastic Change Point Analysis and Application to Footprint Data", J of Data Science, In Press.
hcp<-
function(dataset,jlo,jhi,klo,khi,method=c("C-LLL","C-LQL","U-LLL","MMP"),variance = c("121", "Common", "Differ"),plot=c("FALSE","TRUE"),sigma21,r1,s1,sigma22,r2,s2,sigma23,r3,s3){
jlow<-jlo
jhigh<-jhi
klow<-klo
khigh<-khi
sortdata<-dataset[order(dataset[,1]),]
x<-sortdata[,1]
y<-sortdata[,2]
n<-length(x)
jlo<-length(x[x<jlow])
jhi<-length(x[x<jhigh])
klo<-length(x[x<klow])
khi<-length(x[x<khigh])
method<-match.arg(method)
variance<-match.arg(variance)
plot<-match.arg(plot)
if (method=="U-LLL") {
if (variance=="121"){
hats<-llsearch(x,y,n,jlo,jhi,klo,khi,plot)
est<-p.est(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,coe=c(est$a0,est$a1,est$b0,est$b1,est$c0,est$c1),sigma2=c(est$sigma2,est$tau2),changepoints=c(est$xj,est$xk)))
}
if (variance == "Common"){
hats<-llsearch.C(x,y,n,jlo,jhi,klo,khi,plot)
est<-p.est.C(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,coe=c(est$a0,est$a1,est$b0,est$b1,est$c0,est$c1),sigma2=est$sigma2,changepoints=c(est$xj,est$xk)))
}
if (variance == "Differ"){
hats<-llsearch.D(x,y,n,jlo,jhi,klo,khi,plot)
est<-p.est.D(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,coe=c(est$a0,est$a1,est$b0,est$b1,est$c0,est$c1),sigma2=c(est$sigma2,est$tau2,est$u2),changepoints=c(est$xj,est$xk)))
}
}
if (method=="C-LLL") {
if (variance=="121") {
hats<-con.search(x,y,n,jlo,jhi,klo,khi,plot)
est<-con.vals(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,sigma=c(sqrt(1/est$eta[1]),sqrt(1/est$eta[2])),coe=est$beta,changepoints=est$tau))
}
if (variance =="Common") {
hats<-con.search.C(x,y,n,jlo,jhi,klo,khi,plot)
est<-con.vals.C(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,sigma2=1/est$eta[1],coe=est$beta,changepoints=est$tau))
}
if (variance =="Differ") {
hats<-con.search.D(x,y,n,jlo,jhi,klo,khi,plot)
est<-con.vals.D(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,sigma2=c(1/est$eta[1],1/est$eta[2],1/est$eta[3]),coe=est$beta,changepoints=est$tau))
}
}
if (method=="C-LQL") {
if (variance=="121") {
hats<-con2.search(x,y,n,jlo,jhi,klo,khi,plot)
est<-con2.vals(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,sigma2=c(1/est$eta[1],1/est$eta[2]),coe=est$beta,changepoints=est$tau))
}
if (variance =="Common") {
hats<-con2.search.C(x,y,n,jlo,jhi,klo,khi,plot)
est<-con2.vals.C(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,sigma2=1/est$eta[1],coe=est$beta,changepoints=est$tau))
}
if (variance =="Differ") {
hats<-con2.search.D(x,y,n,jlo,jhi,klo,khi,plot)
est<-con2.vals.D(x,y,n,hats$jhat,hats$khat)
return(list(maxloglik=hats$value,sigma2=c(1/est$eta[1],1/est$eta[2],1/est$eta[3]),coe=est$beta,changepoints=est$tau))
}
}
if(method=="MMP") {
if (variance=="121") {
rr<-r1
ss<-s1
vv<-r2
ww<-s2
hats<- mmpiter(x,y,n,jlo,jhi,klo,khi,sigma21,sigma22,rr,ss,vv,ww)
est<-p.est(x,y,n,hats$jhat,hats$khat)
return(list(coe=c(est$a0,est$a1,est$b0,est$b1,est$c0,est$c1),sigma2=c(est$sigma2,est$tau2),changepoints=c(est$xj,est$xk)))
}
if (variance =="Common") {
rr<-r1
ss<-s1
hats<- mmpiter.C(x,y,n,jlo,jhi,klo,khi,sigma21,rr,ss)
est<-p.est.C(x,y,n,hats$jhat,hats$khat)
return(list(coe=c(est$a0,est$a1,est$b0,est$b1,est$c0,est$c1),sigma2=est$sigma2,changepoints=c(est$xj,est$xk)))
}
if (variance =="Differ") {
rr<-r1
ss<-s1
vv<-r2
ww<-s2
mm<-r3
nn<-s3
hats<- mmpiter.D(x,y,n,jlo,jhi,klo,khi,sigma21,sigma22,sigma23,rr,ss,vv,ww,mm,nn)
est<-p.est.D(x,y,n,hats$jhat,hats$khat)
return(list(coe=c(est$a0,est$a1,est$b0,est$b1,est$c0,est$c1),sigma2=c(est$sigma2,est$tau2,est$u2),changepoints=c(est$xj,est$xk)))
}
}
}
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