ChangePointCalc-package: Offline change-Points estimation via DP and SGL

In boris109able/ChangePointCalc: Estimate change-points via Sparse Group Lasso and Dynamic Programming.

Description

Calculate change-points by DP approach and SGL approach in linear regression models.

Details

Package:	ChangePointCalc
Type:	Package
Version:	1.0
Date:	2014-10-25
License:	GPL

Author(s)

Bingwen Zhang Maintainer: Bingwen Zhang <[e-mail]>

References

Bingwen Zhang, Jun Geng and Lifeng Lai, Detecting changes in regression models via sparse group lasso, http://users.wpi.edu/~bzhang/MultipleChangePointsEstimationSGL_fullproof.pdf.

Simon, N., Friedman, J., Hastie T., and Tibshirani, R. (2011) A Sparse-Group Lasso, http://www-stat.stanford.edu/~nsimon/SGL.pdf.

Examples

ChangePoints <- c(101,201)
n <- 300
p <- 20
SData <- SynthesizeData(ChangePoints, sigma1=1, sigma2=0.1, n, p, coefficients=NULL)
resultSGL <- SGLmain(data=SData,gamma=0.90)
SGLPlotChangePoint(resultSGL, n, p, num=20, breaks=NULL)

SData <- SynthesizeData(ChangePoints, sigma1=1, sigma2=0.1, n, p, coefficients=NULL, type="DP")
resultDP <- DPmain(x=SData$x, y=SData$y, 3)
DPPlotChangePoint(resultDP$Sol, n, p)

boris109able/ChangePointCalc documentation built on May 13, 2019, 12:34 a.m.