cpTest: Mutilple testing of change points for kernel smoothed data

In zhibinghe/ChangePoint: Multiple Testing of Local Extrema for Detection of Structural Breaks

Mutilple testing of change points for kernel smoothed data

Description

Mutilple testing of change points for kernel smoothed data

Usage

cpTest(
  x,
  order,
  alpha,
  gamma,
  sigma,
  breaks,
  slope,
  untest,
  nu,
  is.constant,
  margin
)

Arguments

x	vector of kernel smoothed data
order	order of derivative of data
alpha	global significant level
gamma	bandwidth of Gaussian kernel
sigma	standard deviation of kernel smoothed noise
breaks	vector of rough estimate of change-point locations, only required when order is 1.
slope	vector of rough estimate of slopes associated with breaks, only required when order is 1.
untest	vector of locations unnecessary to test
nu	standard deviation of Gaussian kernel used to generate autocorrelated Gaussian noise, it is 0 if the noise is Gaussian white noise.
is.constant	logical value indicating if the signal is piecewise constant, if TRUE, breaks and slope are not necessary.
margin	length of one period of data x

Value

a list of estimated change-point locations and threshold for p-value

Examples

## piecewise linear signal
l = 1200
h = seq(150,by=150,length.out=6)
jump = rep(0,7)
beta1 = c(2,-1,2.5,-3,-0.2,2.5)/50
beta1 = c(beta1,-sum(beta1*(c(h[1],diff(h))))/(l-tail(h,1)))
signal = gen.signal(l,h,jump,beta1)
noise = rnorm(length(signal),0,2)
gamma = 25
sdata = smth.gau(signal+noise,gamma)
ddy = diff(sdata,differences=2)
model2 = cpTest(x=ddy,order=2,gamma=gamma,alpha=0.05)
## piecewise constant
l = 1200
h = seq(150,by=150,length.out=6)
jump = c(0,1.5,2,2.2,1.8,2,1.5)
beta1 = rep(0,length(h)+1)
signal = gen.signal(l,h,jump,beta1)
noise = rnorm(length(signal),0,1)
gamma = 25
sdata = smth.gau(signal+noise,gamma)
dy = diff(sdata)
model1 = cpTest(x=dy,order=1,alpha=0.05,gamma=gamma,is.constant=TRUE)
## piecewise linear with jump
l = 1200
h = seq(150,by=150,length.out=6)
jump = c(0,1.5,2,2.2,1.8,2,1.5)*3
beta1 = c(2,-1,2.5,-3,-0.2,2.5,-0.5)/50
signal = gen.signal(l=l,h=h,jump=jump,b1=beta1)
noise = rnorm(length(signal),0,1)
gamma = 25
sdata = smth.gau(signal+noise,gamma)
dy = diff(sdata)
ddy = diff(sdata,differences=2)
model2 = cpTest(x=ddy,order=2,gamma=gamma,alpha=0.1)
breaks = est.pair(vall=model2$vall,peak=model2$peak,gamma=gamma)$cp
slope = est.slope(x=(signal+noise),breaks=breaks)

zhibinghe/ChangePoint documentation built on Feb. 22, 2025, 12:34 p.m.