findChangePoints: Regime switching function to estimate the change points

In drjingma/switchNet:

Description

Regime switching function to estimate the change points

Usage

findChangePoints(
  X,
  tau0,
  eps = c(5, 5),
  lambda = NULL,
  method = c("newton", "search"),
  maxIter = 30,
  both = TRUE,
  grid.tau1 = NULL,
  grid.tau2 = NULL
)

Arguments

X	A p by N data matrix
tau0	initialization of tau
eps	nbhd size of approximation
lambda	The tuning parameters in a vector of length 2
method	The optimization method used. Could be "Newton" or "search",
maxIter	The maximum number of iterations
grid.tau1
grid.tau2	the search grid for tau1 and tau2. Must be provided if not using NR optimization
search	Whether to perform grid search after Newton's update

drjingma/switchNet documentation built on Jan. 12, 2022, 4:14 p.m.