wbs-package: Wild Binary Segmentation for multiple change-point detection

Description Details References Examples

Description

The package implements Wild Binary Segmentation, a technique for consistent estimation of the number and locations of multiple change-points in data. It also provides a fast implementation of the standard Binary Segmentation algorithm.

Details

The main routines of the package are wbs, sbs and changepoints.

References

P. Fryzlewicz (2014), Wild Binary Segmentation for multiple change-point detection. Annals of Statistics, to appear. (http://stats.lse.ac.uk/fryzlewicz/wbs/wbs.pdf)

Examples

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#an example in which standard Binary Segmentation fails to detect change points
x <- rnorm(300)+ c(rep(0,130),rep(-1,20),rep(1,20),rep(0,130))

s <- sbs(x)
w <- wbs(x)

s.cpt <- changepoints(s)
s.cpt

w.cpt <- changepoints(w)
w.cpt
# in this example, both algorithms work well
x <- rnorm(300) + c(rep(1,50),rep(0,250))

s <- sbs(x)
w <- wbs(x)

s.cpt <- changepoints(s)
s.cpt

w.cpt <- changepoints(w)
w.cpt

Example output

$sigma
[1] 1.029272

$th
[1] 4.519286

$no.cpt.th
[1] 0

$cpt.th
$cpt.th[[1]]
[1] NA


$Kmax
[1] 0

$sigma
[1] 1.029272

$th
[1] 4.519286

$no.cpt.th
[1] 2

$cpt.th
$cpt.th[[1]]
[1] 152 169


$Kmax
[1] 50

$ic.curve
$ic.curve$ssic.penalty
 [1]  11.018264  15.512512  10.898690   9.615187  15.249862  13.531978
 [7]  18.738644  23.281474  28.886798  34.689809  35.882492  37.721583
[13]  41.146762  42.592433  46.818434  51.590881  57.177981  58.441234
[19]  61.924867  64.578647  70.347626  72.052011  75.181340  79.555743
[25]  85.114531  89.846461  91.982587  94.087465  98.913449 101.039549
[31] 103.191180 108.118144 110.571811 114.452370 119.934168 125.665796
[37] 130.950340 134.746321 137.283526 139.786685 145.535243 147.620379
[43] 150.088190 152.534167 155.142512 158.401231 161.554769 165.857972
[49] 168.666291 172.754812 175.585448

$ic.curve$bic.penalty
 [1]  11.018264  15.412332  10.698330   9.314648  14.849143  13.031079
 [7]  18.137565  22.580215  28.085359  33.788190  34.880694  36.619605
[13]  39.944604  41.290095  45.415916  50.088183  55.575104  56.738176
[19]  60.121630  62.675230  68.344029  69.948234  72.977384  77.251607
[25]  82.710215  87.341965  89.377911  91.382609  96.108413  98.134334
[31] 100.185785 105.012569 107.366056 111.146436 116.528054 122.159501
[37] 127.343866 131.039667 133.476692 135.879671 141.528050 143.513006
[43] 145.880636 148.226434 150.734599 153.893138 156.946496 161.149519
[49] 163.857658 167.845999 170.576456

$ic.curve$mbic.penalty
 [1]  11.01826  17.57099  14.21258  14.31462  21.41736  20.13322  26.89478
 [8]  32.92624  39.97493  46.99151  48.70809  51.48027  54.78640  56.64822
[15]  61.57876  67.13567  73.10201  74.23944  78.29870  81.47389  88.34164
[22]  89.92259  93.43974  98.42033 104.73479 110.01711 111.98629 113.96659
[29] 119.42905 121.74265 123.65026 129.19877 132.34376 136.93285 142.93184
[36] 149.75306 155.64506 159.62855 161.99881 164.29021 170.68442 172.61669
[43] 175.20524 177.51877 180.29643 184.35085 187.34532 191.82815 194.71463
[50] 199.49447 202.11335


$cpt.ic
$cpt.ic$ssic.penalty
[1] 152 169 129

$cpt.ic$bic.penalty
[1] 152 169 129

$cpt.ic$mbic.penalty
[1] NA


$no.cpt.ic
ssic.penalty  bic.penalty mbic.penalty 
           3            3            0 

$sigma
[1] 1.155001

$th
[1] 5.071335

$no.cpt.th
[1] 1

$cpt.th
$cpt.th[[1]]
[1] 52


$Kmax
[1] 1

$sigma
[1] 1.155001

$th
[1] 5.071335

$no.cpt.th
[1] 1

$cpt.th
$cpt.th[[1]]
[1] 52


$Kmax
[1] 50

$ic.curve
$ic.curve$ssic.penalty
 [1]  13.897055  -1.487344   3.331035   1.052656   6.840982   9.183526
 [7]   8.187780  13.672713  17.904162  21.170785  25.932063  26.802654
[13]  29.533270  31.383581  36.235627  37.834866  40.179655  40.985548
[19]  45.809356  51.216053  53.772097  59.574599  61.489203  67.146386
[25]  71.805567  73.990793  79.794753  82.154460  85.842462  90.116303
[31]  92.570573  98.199939 102.556210 108.294153 108.979470 113.048958
[37] 115.911648 118.824793 121.860384 124.699980 128.839638 131.797724
[43] 135.786375 139.340983 143.922313 149.618517 154.188657 158.173319
[49] 161.322243 164.507691 168.256113

$ic.curve$bic.penalty
 [1]  13.8970547  -1.5875238   3.1306756   0.7521164   6.4402627   8.6826271
 [7]   7.5867006  12.9714541  17.1027228  20.2691659  24.9302646  25.7006755
[13]  28.3311123  30.0812431  34.8331092  36.3321685  38.5767771  39.2824911
[19]  44.0061185  49.3126364  51.7685004  57.4708227  59.2852470  64.8422500
[25]  69.4012504  71.4862972  77.1900768  79.4496039  83.0374268  87.2110872
[31]  89.5651780  95.0943635  99.3504554 104.9882180 105.5733551 109.5426637
[37] 112.3051737 115.1181385 118.0535500 120.7929659 124.8324446 127.6903507
[43] 131.5788213 135.0332496 139.5144000 145.1104240 149.5803842 153.4648660
[49] 156.5136105 159.5988786 163.2471212

$ic.curve$mbic.penalty
 [1]  13.8970547   0.2929212   6.3015954   4.5391081  12.2611830  16.0389098
 [7]  15.2812234  22.2320772  27.8430282  31.5414347  37.0618114  38.4562943
[13]  41.2305722  43.9009777  49.8552757  52.0474822  55.2819968  57.0713326
[19]  62.8438553  69.0007671  71.4486309  78.1675793  80.2170054  86.8291150
[25]  92.4894087  94.5590697 100.7645003 103.3205593 107.5606904 112.3504225
[31] 114.6133526 121.3462981 126.4982697 133.0901172 133.6275992 137.9077519
[37] 140.9845662 143.7063703 146.5506210 149.2500156 154.1123970 156.9332491
[43] 161.2798651 165.0373613 170.2617006 176.2042982 181.4557174 186.0577414
[49] 188.7599123 191.8106840 195.3150856


$cpt.ic
$cpt.ic$ssic.penalty
[1] 52

$cpt.ic$bic.penalty
[1] 52

$cpt.ic$mbic.penalty
[1] 52


$no.cpt.ic
ssic.penalty  bic.penalty mbic.penalty 
           1            1            1 

wbs documentation built on May 30, 2017, 3:56 a.m.