R/follow_ups.R

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

follow_ups <- function(dat, mincper = 0.75, steps = 1, mincp = 1)
{
  i <- 1
  indi <- numeric(length(dat))
  indi[1] <- 1
  dd <- diff(dat)
  if(length(dat) > 1)
  {
    for(j in 2:length(dat))
    {
      if(dd[j - 1] == steps)
      {
        indi[j] <- i
      }
      else if(dd[j - 1] > steps)
      {
        i <- i + 1
        indi[j] <- i
      }
      
    }
  }
  
  
  jps <- dat
  minc <- sort(table(indi), decreasing = TRUE)[mincp] * mincper
  
  for(j in 1:i)
  {
    if(sum(indi == j) < minc)
    {
      jps <- jps[indi != j]
      indi <- indi[indi != j]
    }
  }
  list(clusters = indi, jumps = jps)
}