ocpt.np.initialise: ocpt.np.initialise - Initialisation function for ECP method...

In rkillick/changepoint.online: Online detection of changepoints

Description

Implements the ECP method for identifying changepoints in a given set of summary statistics for a specified delta and alpha.

This function is called by ocpt.mean.initialise, ocpt.var.initialise and ocpt.var.initialise when test.stat="ECP".

Usage

ocpt.np.initialise(Z,K,delta,alpha,verbose)

Arguments

Z	A matrix containing the data.
K	The maximum number of changepoints the user wishes to search for.
delta	The window size used to calculate the calculate the complete portion of our approximate test statistic. This also corresponds to one less than the minimum segment size. It is the same as minseglen for PELT.
alpha	The moment index used for determining the distance between and within segments.
verbose	A flag indicating if status updates should be printed.

Details

This function is used as a wrapper function to implement the ECP algorithm in C++. It simply creates the necessary worker vectors, ensures all inputs are the correct type, and passes everything to the C function.

Value

A ecp.ocpt object is returned with a summary:

number of changepoints	The estimated number of change points.
Estimate Locations	The location of the change points estimated by the procedure.
Goodness of Fit Model	Goodness of Fit Model's score.
Delta	The window size.
Alpha	The moment index used.
Verbose	A flag indicating if status updates should be printed.
Number of Datapoints	Total number of data pieces observed.
Calcualtion Time	Time procedure took.

Author(s)

Andrew Connell Rebecca Killick David Matteson

Examples

z = matrix(c(rnorm(100,1,5),(rnorm(100,20,1))),ncol=1)
ans = ocpt.np.initialise(z)
ans

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