norm.var: Multivariate Cost Calculation: Normally distributed...

In benpickering/smop: Subset Multivariate Optimal Partitioning

Description

Calculates the cost between a sequence of multivariate observations using the provided cumulative sums of data. The observations are assumed to be Normally distributed with fixed mean (= 0). The variance parameters are set to their maximum likelihood estimates. Used for detecting changes in variance only.

Usage

norm.var(n, x, x2, p, length.checklist)

Arguments

n	A matrix containing the lengths between the changepoints in current changepoint vector being considered and the changepoints in the check-list of previous changepoint vectors.
x	A p x length.checklist matrix containing the cumulative sums of the observations between the current changepoint vector and each corresponding changepoint vector on the check-list.
x2	The same as x, except containing the cumulative sums of the squared observations.
p	The number of variables in the series.
length.checklist	The number of possible previous changepoint vectors on the check-list being considered.

Details

An internal function, not designed for use by the end-user.

Value

A vector of length length.checklist containing the multivariate costs for each changepoint vector on the check-list being considered.

benpickering/smop documentation built on Sept. 4, 2020, 1:45 a.m.