exhaust_sc: Algorithm II (Local change-point search with SC)

In mosum: Moving Sum Based Procedures for Changes in the Mean

Algorithm II (Local change-point search with SC)

Description

Input cand: =mathcal D, conflicting changepoints candidate set Input sub_sums: Pre-computed partial sums, as obtained by extract_sub Input strength: Exponent for penalty Input log_penalty: log (or polynomial) penalty term? Input n: Overall length of data Input auc: =|mathcal C|, total number of currently active changepoints (+candidates) Input min_cost: Minimal RSS with all the candidates

Usage

exhaust_sc(cand, sub_sums, strength, log_penalty, n, auc, min_cost)

Details

Output sc: (Mx2) matrix (M=2^m with m=|cand|) containing RSS/cost and SC terms for all combinations within cand. Combinations are indexed by their implicit integer representation, i.e. sc[0,] corresponds to the empty set, sc[3,] to k_1,k_2 [0..011], etc. Note: Row May be Inf, if combination was not visited in algorithm. Output est_cpts: Integer Vector of estimated changepoints Output final: Bool Vector indicating if combinations are final states Output num_cpts: For debugging purposes

mosum documentation built on Oct. 22, 2022, 5:05 p.m.