wbs: Change-point detection via Wild Binary Segmentation

In wbs: Wild Binary Segmentation for Multiple Change-Point Detection

Description

The function applies the Wild Binary Segmentation algorithm to identify potential locations of the change-points in the mean of the input vector x. The object returned by this routine can be further passed to the changepoints function, which finds the final estimate of the change-points based on chosen stopping criteria.

Usage

wbs(x, ...)

## Default S3 method:
wbs(x, M = 5000, rand.intervals = TRUE,
  integrated = TRUE, ...)

Arguments

x	a numeric vector
...	not in use
M	a number of intervals used in the WBS algorithm
rand.intervals	a logical variable; if rand.intervals=TRUE intervals used in the procedure are random, thus the output of the algorithm may slightly vary from run to run; for rand.intervals=FALSE the intervals used depend on M and the length of x only, hence the output is always the same for given input parameters
integrated	a logical variable indicating the version of Wild Binary Segmentation algorithm used; when integrated=TRUE, augmented version of WBS is launched, which combines WBS and BS into one

Value

an object of class "wbs", which contains the following fields

x	the input vector provided
n	the length of x
M	the number of intervals used
rand.intervals	a logical variable indicating type of intervals
integrated	a logical variable indicating type of WBS procedure
res	a 6-column matrix with results, where 's' and 'e' denote start- end points of the intervals in which change-points candidates 'cpt' have been found; column 'CUSUM' contains corresponding value of CUSUM statistic; 'min.th' is the smallest threshold value for which given change-point candidate would be not added to the set of estimated change-points; the last column is the scale at which the change-point has been found

Examples

x <- rnorm(300) + c(rep(1,50),rep(0,250))
w <- wbs(x)
plot(w)
w.cpt <- changepoints(w)
w.cpt
th <- c(w.cpt$th,0.7*w.cpt$th) 
w.cpt <- changepoints(w,th=th)
w.cpt$cpt.th

Example output

$sigma
[1] 0.9244268

$th
[1] 4.058938

$no.cpt.th
[1] 1

$cpt.th
$cpt.th[[1]]
[1] 71


$Kmax
[1] 50

$ic.curve
$ic.curve$ssic.penalty
 [1]   6.169828  -2.076369   2.094517   4.976528  10.700755  14.634837
 [7]  20.363745  23.621532  25.013413  26.527290  30.650581  35.815807
[13]  40.446056  44.285020  46.878742  52.282997  57.109050  61.505328
[19]  64.146321  67.198243  70.187398  75.353524  80.690841  85.307921
[25]  87.690551  90.117899  92.265936  95.766653  99.674123 101.651746
[31] 104.621496 109.699988 111.757696 113.659580 115.586533 120.485209
[37] 122.422209 126.974370 129.472112 132.108233 135.808735 140.949030
[43] 143.570933 146.051831 149.628495 152.393247 157.455903 162.765412
[49] 164.998799 167.332343 171.940093

$ic.curve$bic.penalty
 [1]   6.169828  -2.176549   1.894158   4.675989  10.300035  14.133938
 [7]  19.762666  22.920273  24.211975  25.625671  29.648783  34.713829
[13]  39.243897  42.982682  45.476224  50.780299  55.506173  59.802270
[19]  62.343084  65.294826  68.183802  73.249747  78.486885  83.003784
[25]  85.286234  87.613403  89.661260  93.061798  96.869087  98.746531
[31] 101.616101 106.594413 108.551941 110.353646 112.180418 116.978915
[37] 118.815734 123.267716 125.665278 128.201219 131.801541 136.841656
[43] 139.363379 141.744098 145.220582 147.885154 152.847630 158.056959
[49] 160.190167 162.423531 166.931101

$ic.curve$mbic.penalty
 [1]   6.1698277  -0.1802396   5.9107273   9.2273709  15.7031507  21.2535265
 [7]  28.5014018  32.3104645  34.8657996  36.2717442  41.6566329  47.9083560
[13]  53.8068242  58.2927933  61.4281549  67.9448240  72.6577098  78.0435699
[19]  80.5710499  83.5031814  87.3076469  93.4676798  99.5952918 104.0925810
[25] 106.3528050 109.4873884 112.0032917 115.8892187 120.3723129 122.2127023
[31] 125.0609923 130.4770393 132.4181727 134.1287160 135.9332626 141.4684120
[37] 143.2749194 148.4635535 150.8407049 153.3366251 157.7374816 163.2063217
[43] 165.9834577 168.3319074 172.2138563 175.4374437 181.0172921 186.6166999
[49] 188.5471749 190.7370338 196.0583316


$cpt.ic
$cpt.ic$ssic.penalty
[1] 71

$cpt.ic$bic.penalty
[1] 71

$cpt.ic$mbic.penalty
[1] 71


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

[[1]]
[1]  71 176   6

[[2]]
[1] 71

wbs documentation built on May 15, 2019, 1:04 a.m.