ocpt.range-class: Class "ocpt.range"

In rkillick/changepoint.online: Online detection of changepoints

Description

A class for online changepoint objects that return more than 1 segmentation. Inherits from ocpt class.

Objects from the Class

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

new("ocpt.range", ...):

creates a new object with class ocpt.range

Slots

cpts.full:

Object of class "matrix", each row of the matrix is a different segmentation of the data (different set of online changepoints).

pen.value.full:

Object of class "vector", each element is the penalty used to create the set of changepoints in the corresponding row of ocpts.full.

The remaining slots are inherited from the ocpt class.

sumstat:

Object of class "array", a summary statistic matrix of the original data. Inherited from ocpt class.

cpttype:

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

method:

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

test.stat:

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

pen.type:

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

pen.value:

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

minseglen:

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

cpts:

Object of class "numeric", vector of optimal online changepoints identified. Inherited from ocpt class.

ncpts.max:

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

param.est:

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

date:

Object of class "character", date and time the online changepoint analysis was run. Inherited from ocpt class.

version:

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

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

cpts.full

signature(object = "ocpt.range"): retrieves ocpts.full slot

pen.value.full

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

cpts.full<-

signature(object = "ocpt.range"): replaces ocpts.full slot

param

signature(object="ocpt.range",nocpts=NA): creates parameter estimates for the segmentation with nocpts number of online changepoints. If nocpts=NA then the optimal set of online changepoints according to the set penalty is used.

pen.value.full<-

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

plot

signature(object="ocpt.range",nocpts=NA,diagnostic=FALSE): by default plots the optimal segmentation as for class="ocpt". If nocpts is specified then plots the segmentation for nocpts number of online changepoints. If diagnostic=TRUE then produces a diagnostic plot to aide selection of the number of changes.

print

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

summary

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

Author(s)

Andrew Connell, Rebecca Killick

See Also

cpts.full-methods,ocpt

Examples

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

# Example of multiple changes in variance at 50,100,150 in simulated normal data
set.seed(1)
x=c(rnorm(50,0,1),rnorm(50,0,10),rnorm(50,0,5),rnorm(50,0,1))
#out=ocpt.var.initialise(x,pen.value=c(log(length(x)),10*log(length(x))))
#print(out) # prints details of the analysis including a summary
#summary(out)

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