R/Buishand_range.R In santiagoh719/BreakPoints: Identify breakpoints in series of data

Documented in Buishand_R

```Buishand_R <- function(serie,n_period=10,dstr='norm',simulations = 1000){
if(exists(x = '.Random.seed')){
old <- .Random.seed
on.exit( { .Random.seed <<- old } )
}

serie <- as.vector(serie)
n <- length(serie)
na_ind <- is.na(serie)
n_no_na <- n - sum(as.numeric(na_ind))
if(n < 2*n_period){
stop('serie no long enough or n_period too long')
}
serie_mean <- mean(serie,na.rm = T)
serie_sd <- sd(serie,na.rm = T)
serie_com <- serie[!na_ind]

#if dstr = gamma; need parameters to fit:
if(dstr == 'gamma'){
delta <- min(serie_com) - 1
par_gamma <- fitdistr(serie_com-delta,'gamma')
}

#Interval to compute the test
i_ini <- n_period
i_fin <- n-n_period

serie <- serie-serie_mean

a_v1 <- min(serie, na.rm = T)
a_v2 <- max(serie, na.rm = T)
for(i in i_ini:i_fin){
a <-sum(serie[1:i],na.rm = T)/serie_sd
if( a > a_v1){
a_v1 <- a
i_break1 <- i
}
if(a < a_v2){
a_v2 <- a
i_break2 <- i
}
}
a_v <- (a_v1 - a_v2)/sqrt(n_no_na)
if(abs(a_v2) >abs(a_v1)){ i_break <- i_break2
}else{i_break <- i_break1}

#Begin Simulations
set.seed(14243)
a_sim <- vector(mode = 'double',length = simulations)
if(dstr == 'norm'){
#Monte Carlo for Normal FDP
for(i in 1:simulations){

aux <- rnorm(n_no_na,mean=serie_mean,sd = serie_sd)

sd_aux <- sd(aux)
mn_aux <- mean(aux)
aux <- aux - mn_aux

a_v1 <- min(aux)
a_v2 <- max(aux)
for(j in i_ini:(n_no_na-n_period-1)){
a <-sum(aux[1:j],na.rm = T)/sd_aux
if( a > a_v1){
a_v1 <- a
}
if(a < a_v2){
a_v2 <- a
}
}
a_sim[i] <- (a_v1 - a_v2)/sqrt(n_no_na)
}
} else if( dstr == 'gamma'){
# Monte Carlo for Gamma FDP
for(i in 1:simulations){

aux <- rgamma(n=n_no_na,shape=par_gamma\$estimate[1],rate = par_gamma\$estimate[2])
aux <- aux + delta
sd_aux <- sd(aux)
mn_aux <- mean(aux)
aux <- aux - mn_aux

a_v1 <- min(aux)
a_v2 <- max(aux)
for(j in i_ini:(n_no_na-n_period-1)){
a <-sum(aux[1:j],na.rm = T)/sd_aux
if( a > a_v1){
a_v1 <- a
}
if(a < a_v2){
a_v2 <- a
}
}
a_sim[i] <- (a_v1 - a_v2)/sqrt(n_no_na)
}

} else if (dstr == 'self'){
#Bootstrap
for(i in 1:simulations){

aux <- sample(x = serie_com,replace = T,size = n_no_na)

sd_aux <- sd(aux)
if(sd_aux == 0){
next
}
mn_aux <- mean(aux)
aux <- aux - mn_aux

a_v1 <- min(aux)
a_v2 <- max(aux)

for(j in i_ini:(n_no_na-n_period-1)){
a <-sum(aux[1:j],na.rm = T)/sd_aux
if( a > a_v1){
a_v1 <- a
}
if(a < a_v2){
a_v2 <- a
}
}
a_sim[i] <- (a_v1 - a_v2)/sqrt(n_no_na)
}

}else{
stop('not supported dstr input')
}
cum_dist_func <- ecdf(a_sim)
p <- 1-cum_dist_func(a_v)
out <- list(breaks = i_break+1 ,p.value = p)
return(out)
}
```
santiagoh719/BreakPoints documentation built on Feb. 28, 2019, 4:43 p.m.