ChangePointsPlot: Plot Peak Ranges of Change Points

In JieGroup/offlineChange: Detect Multiple Change Points from Time Series

Description

Plot the peak ranges of change points produced by MultiWindow. The blue solid line is the start of a peak range and the red dashed line is the end of that peak range.

Usage

ChangePointsPlot(y, result, ...)

Arguments

y	The original data to find change points. Must be one dimensional data.
result	The result of function MultiWindow.
...	Arguments to be passed to plot, such as main, xlab, ylab.

Value

A plot of original data and peak ranges of change points.

References

J. Ding, Y. Xiang, L. Shen, and V. Tarokh, Multiple Change Point Analysis: Fast Implementation and Strong Consistency. IEEE Transactions on Signal Processing, vol. 65, no. 17, pp. 4495-4510, 2017.

Examples

N <- 1000
N1 <- floor(0.1*N)
N2 <- floor(0.3*N)
a1 <- c(0.8, -0.3); c1 <- 0
a2 <- c(-0.5, 0.1); c2 <- 0
a3 <- c(0.5, -0.5); c3 <- 0
y <- rep(0,N)
L<-2
y[1:L] <- rnorm(L)
for (n in (L+1):N){
  if (n <= N1) {
    y[n] <- y[(n-1):(n-L)] %*% a1 + c1 + rnorm(1)
  } else if (n <= (N1+N2)) {
    y[n] <- y[(n-1):(n-L)] %*% a2 + c2 + rnorm(1)
  }
  else {
    y[n] <- y[(n-1):(n-L)] %*% a3 + c3 + rnorm(1)
  }
}
result <- MultiWindow(y,window_list=c(100,50,20,10,5),point_max=5)
ChangePointsPlot(y,result)

JieGroup/offlineChange documentation built on Aug. 3, 2019, 8:33 a.m.