ocpt-class: Class "ocpt"

In rkillick/changepoint.online: Online detection of changepoints

Description

A class for online changepoint objects.

Objects from the Class

Objects can be created by calls of the form new("ocpt", ...).

new("ocpt", ...):

creates a new object with class ocpt

Slots

sumstat:

Object of class "array", a summary statistic for the the original data.

cpttype:

Object of class "character", the type of online changepoint that was identified.

method:

Object of class "character", the method that was used to search for changepoints.

test.stat:

Object of class "character", the test statistic for the analysis of the data.

pen.type:

Object of class "character", the penalty type specified in the analysis.

pen.value:

Object of class "numeric", the value of the penalty used in the analysis.

minseglen:

Object of class "numeric", the minimum segment length (no. of observations between changepoints) used in the analysis.

cpts:

Object of class "numeric", vector of online changepoints identified.

ncpts.max:

Object of class "numeric", maximum number of online changepoint that can be identified.

param.est:

Object of class "list", list where each element is a vector of parameter estimates, if requested.

date:

Object of class "character", date and time the changepoint analysis was run.

version:

Object of class "character", version number of the package used when the analysis was run.

lastchangelike:

Object of class "numeric", vector of lenght n containing the likelihood of the optimal segmentation up to each timepoint.

lastchangecpts:

Object of class "numeric", vector of length n containing the last changepoint prior to each timepoint.

nchecklist:

Object of class "numeric", stores the current number of changepoints detected.

checklist:

Object of class "numeric", vector of locations of the potential last changepoint for next iteration (to be updated), max length=(ndone+nupdate).

ndone:

Object of class "numeric", length of the time series when analysis begins.

nupdate:

Object of class "numeric", length of the time series to be analysed in this update.

cost_func:

Object of class "character", the cost function used in PELT.online calculations.

shape:

Object of class "numeric", only used when cost_func is the gamma likelihood. Otherwise 1.

Methods

ocpts

signature(object = "ocpt"): retrieves ocpts slot

cpttype

signature(object = "ocpt"): retrieves ocpttype slot

sumstat

signature(object = "ocpt"): retrieves matrix version of sumstat slot

test.stat

signature(object = "ocpt"): retrieves test.stat slot

ncpts.max

signature(object = "ocpt"): retrieves ncpts.max slot

method

signature(object = "ocpt"): retrieves method slot

minseglen

signature(object = "ocpt"): retrieves minseglen slot

param.est

signature(object = "ocpt"): retrieves param.est slot

pen.type

signature(object = "ocpt"): retrieves pen.type slot

pen.value

signature(object = "ocpt"): retrieves pen.value slot

cpts<-

signature(object = "ocpt"): replaces cpts slot

cpttype<-

signature(object = "ocpt"): replaces cpttype slot

sumstat<-

signature(object = "ocpt"): replaces sumstat slot

test.stat<-

signature(object = "ocpt"): replaces test.stat slot

ncpts.max<-

signature(object = "ocpt"): replaces ncpts.max slot

method<-

signature(object = "ocpt"): replaces method slot

minseglen<-

signature(object = "ocpt"): replaces minseglen slot

param.est<-

signature(object = "ocpt"): replaces param.est slot

pen.type<-

signature(object = "ocpt"): replaces pen.type slot

pen.value<-

signature(object = "ocpt"): replaces pen.value slot

print

signature(object = "ocpt"): prints details of the cpt object including summary

summary

signature(object = "ocpt"): prints a summary of the cpt object

plot

signature(object = "ocpt"): plots the ocpt object with changepoints highlighted

param

signature(object = "ocpt"): calculates the parameter estimates for the ocpt object

logLik

signature(object = "ocpt"): returns the overall log-likelihood of the ocpt object

Author(s)

Andrew Connell, Rebecca Killick

See Also

cpts-methods,cpt.reg,ocpt.mean.initialise,ocpt.var.initialise,ocpt.meanvar.initialise

Examples

showClass("ocpt") # shows the structure of the ocpt class

x=new("ocpt") # creates a new object with the ocpt class defaults
cpts(x) # retrieves the ocpts slot from x

# Example of a change in variance at 100 in simulated normal data
set.seed(1)
x=c(rnorm(100,0,1),rnorm(100,0,10))
ans=ocpt.var.initialise(x) 
print(ans) # prints details of the analysis including a summary
summary(ans)
plot(ans,data=x) # plots the data with change (vertical line) at 100

rkillick/changepoint.online documentation built on Sept. 26, 2020, 11:01 p.m.