FASeg-package {FASeg}

Joint Segmentation of Set of Correlated Time-Series

Description

FASeg contains a function designed to the joint segmentation (the segmentation is series-specific) in the mean of several correlated series. The form of the correlation is assumed to be arbitrary and we propose to model it with a factor model. A EM algorithm is used to estimate the parameters and a model selection strategy is proposed to determine both the number of breakpoints and the number of factors

Author(s)

Xavier Collilieux, Emilie Lebarbier and Stephane Robin

Maintainer: Emilie Lebarbier <[e-mail]>

References

A factor model approach for the joint segmentation with between-series correlation (arXiv:1505.05660)

Examples

library(FASeg)
data(Y)
M=max(Y$series)
uniKmax=3
multiKmax=11
qmax=M-1
selection=FALSE
WithoutCorr=FALSE
seg=F_FASeg(Y,uniKmax,multiKmax,qmax,selection,WithoutCorr)