fit_lmshift | R Documentation |
Regression-based model fitting
fit_lmshift(x, tau, deg_poly = 0, ...)
fit_lmshift_ar1(x, tau, ...)
fit_trendshift(x, tau, ...)
fit_trendshift_ar1(x, tau, ...)
x |
A time series |
tau |
a set of indices representing a changepoint set |
deg_poly |
integer indicating the degree of the polynomial spline to be
fit. Passed to |
... |
arguments passed to |
These model-fitting functions use stats::lm()
to fit the corresponding
regression model to a time series, using the changepoints specified by the
tau
argument.
Each changepoint is treated as a categorical fixed-effect, while the deg_poly
argument controls the degree of the polynomial that interacts with those
fixed-effects.
For example, setting deg_poly
equal to 0 will return the same model as
calling fit_meanshift_norm()
, but the latter is faster for larger changepoint
sets because it doesn't have to fit all of the regression models.
Setting deg_poly
equal to 1 fits the trendshift
model.
fit_lmshift_ar1()
: will apply auto-regressive lag 1 errors
fit_trendshift()
: will fit a line in each region
fit_trendshift_ar1()
: will fit a line in each region and autoregress lag 1 errors
A mod_cpt object
Other model-fitting:
fit_meanshift()
,
fit_meanvar()
,
fit_nhpp()
,
model_args()
,
model_name()
,
new_fun_cpt()
,
whomademe()
# Manually specify a changepoint set
tau <- c(365, 826)
# Fit the model
mod <- fit_lmshift(DataCPSim, tau)
# Retrieve model parameters
logLik(mod)
deg_free(mod)
# Manually specify a changepoint set
cpts <- c(1700, 1739, 1988)
ids <- time2tau(cpts, as_year(time(CET)))
# Fit the model
mod <- fit_lmshift(CET, tau = ids)
# View model parameters
glance(mod)
glance(fit_lmshift(CET, tau = ids, deg_poly = 1))
glance(fit_lmshift_ar1(CET, tau = ids))
glance(fit_lmshift_ar1(CET, tau = ids, deg_poly = 1))
glance(fit_lmshift_ar1(CET, tau = ids, deg_poly = 2))
# Empty changepoint sets are allowed
fit_lmshift(CET, tau = NULL)
# Duplicate changepoints are removed
fit_lmshift(CET, tau = c(42, 42))
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.