detectGlasso: Change point detection using Graphical lasso as in Cribben et...

In mgampe/detectR: Change Point Detection

Description

This function implements the Dynamic Connectivity Regression (DCR) algorithm proposed by Cribben el al. (2012) to locate changepoints.

Usage

detectGlasso(
  Y,
  Del,
  p,
  lambda = "bic",
  nboot = 100,
  n.cl,
  bound = c(0.001, 1),
  gridTF = FALSE,
  plotTF = TRUE
)

Arguments

Y	Input data of dimension length*dim (T times d)
Del	Delta away from the boundary restriction
p	Gep(p) distribution controls the size of stationary bootstrap. The mean block length is 1/p
lambda	two selections possible for optimal parameter of lambda. "bic" finds lambda from bic criteria, or user can directly input the penalty value
nboot	the number of bootstrap sample for pvalue. Default is 100.
n.cl	number of cores in parallel computing. The default is (machine cores - 1)
bound	bound of bic search in "bic" rule. Default is (.001, 1)
gridTF	minimum bic is found by grid search. Default is FALSE
plotTF	Draw plot to see test statistic

Value

A list with component

br The estimated breakpoints including boundary (0, T)

brhist The sequence of breakspoints found from binay splitting

diffhist The history of BIC reduction on each step

W The estimated vecorized autocovariance on each regime.

WI The estimated vecorized precision matrix on each regime.

lambda The penalty parameter estimated on each regime.

pvalhist The empirical p-values on each binary spltting.

fitzero Detailed output at first stage. Useful in producing plot.

Examples

out1= detectGlasso(changesim, p=.2, n.cl=1)

mgampe/detectR documentation built on Feb. 18, 2021, 2:23 a.m.