sigma_lambda_grid_search: Grid search via cross validation on sigma and lambda...

In connorbrubaker/rulsif.ts: Time Series Change Point Detection Using Relative Unconstrained Least Squares Importance Fitting (RULSIF)

Description

Grid search via cross validation on sigma and lambda parameters

Usage

sigma_lambda_grid_search(
  Nnu,
  Nde,
  k,
  dist_nu,
  dist_de,
  sigma_list,
  lambda_list,
  alpha,
  n_folds
)

Arguments

Nnu	Number of points in numerator
Nde	Number of points in denomenator
k	Number of basis functions
dist_nu	Distance matrix for numerator
dist_de	Distance matrix for denomenator
sigma_list	Sigma values to search over
lambda_list	Lambda values to search over
alpha	Relative parameter
n_folds	Number of folds for CV

Value

Optimal sigma-lambda pair

connorbrubaker/rulsif.ts documentation built on Dec. 19, 2021, 6:02 p.m.