testdata {BayesProject}

Simulated test data.

Description

A dataset containing time series for 100 variates with 1000 data points for each variate. The dataset contains 5 changepoints with each one being shared independently by 10 variates. The observations prior to each changepoint are IID Gaussian, distributed with unit variance and random mean drawn from N(0,1) Gaussians. The mean after each changepoint, for each variable that is selected to have a change in mean, is changed by size=1 at each changepoint location with the sign of change chosen uniformly at random.

Usage

data(testdata)

Format

A matrix with 100 rows and 2000 columns.

References

Hahn, G., Fearnhead, P., Eckley, I.A. (2020). Fast computation of a projection direction for multivariate changepoint detection. Stat Comput.