cpss.em: Detecting changes in exponential family
In ghwang-nk/cpss: Change-Point Detection by Sample-Splitting Methods

cpss.em

R Documentation

Detecting changes in exponential family

Description

Detecting changes in exponential family

Usage

cpss.em(
  dataset,
  family,
  size = NULL,
  algorithm = "BS",
  dist_min = floor(log(n)),
  ncps_max = ceiling(n^0.4),
  pelt_pen_val = NULL,
  pelt_K = 0,
  wbs_nintervals = 500,
  criterion = "CV",
  times = 2
)

Arguments

`dataset`	a numeric matrix of dimension n\times d, where each row represents an observation and each column stands for a variable. A numeric vector is also acceptable for univariate observations.
`family`	a character string specifying the underlying distribution. In the current version, detecting changes in binomial ("`binom`"), multinomial ("`multinom`"), Poisson ("`pois`"), exponential ("`exp`"), geometric ("`geom`"), Dirichlet ("`diri`"), gamma ("`gamma`"), beta ("`beta`"), chi-square ("`chisq`") and inverse gaussian ("`invgauss`") distributions are supported.
`size`	an integer indicating the number of trials only if `family = "binom"` or `family = "multinom"`.
`algorithm`	a character string specifying the change-point searching algorithm, one of the following choices: "SN" (segment neighborhood), "BS" (binary segmentation), "WBS" (wild binary segmentation) and "PELT" (pruned exact linear time) algorithms.
`dist_min`	an integer specifying minimum searching distance (length of feasible segments).
`ncps_max`	an integer specifying an upper bound of the number of true change-points.
`pelt_pen_val`	a numeric vector specifying candidate values of the penalty only if `algorithm = "PELT"`.
`pelt_K`	a numeric value for pruning adjustment only if `algorithm = "PELT"`. It is usually taken to be 0 if the negative log-likelihood is used as a cost, see Killick et al. (2012).
`wbs_nintervals`	an integer specifying the number of random intervals drawn only if `algorithm = "WBS"`, see Fryzlewicz (2014).
`criterion`	a character string specifying the model selection criterion, "CV" ("cross-validation") or "MS" ("multiple-splitting").
`times`	an integer specifying how many times of sample-splitting should be performed; It should be 2 if `criterion = "CV"`.

Value

cpss.em returns an object of an S4 class, called "cpss", which collects data and information required for further change-point analyses and summaries. See cpss.custom.

References

Killick, R., Fearnhead, P., and Eckley, I. A. (2012). Optimal Detection of Changepoints With a Linear Computational Cost. Journal of the American Statistical Association, 107(500):1590–1598.

Fryzlewicz, P. (2014). Wild binary segmentation for multiple change-point detection. The Annals of Statistics, 42(6): 2243–2281.

Examples

library("cpss")
set.seed(666)
n <- 1000
tau <- c(100, 300, 700, 900)
tau_ext <- c(0, tau, n)
theta <- c(1, 0.2, 1, 0.2, 1)
seg_len <- diff(c(0, tau, n))
y <- unlist(lapply(seq(1, length(tau) + 1), function(k) {
  rexp(seg_len[k], theta[k])
}))
res <- cpss.em(
  y, family = "exp", algorithm = "WBS", ncps_max = 10,
  criterion = "MS", times = 10
)
cps(res)
# [1] 100 299 705 901

ghwang-nk/cpss documentation built on Aug. 25, 2022, 8:12 a.m.