sol_path_pcm {IDetect} | R Documentation |
The solution path for the case of piecewise-constant signals
Description
This function starts by overestimating the number of true change-points.
After that, following a CUSUM-based approach, it sorts the estimated change-points
in a way that the estimate, which is most-likely to be correct appears first, whereas
the least likely to be correct, appears last. The routine is typically not called
directly by the user; it is employed in pcm_ic
. For more information, see
References.
Usage
sol_path_pcm(x, thr_ic = 0.9, points = 3)
Arguments
x |
A numeric vector containing the data in which you would like to find change-points. |
thr_ic |
A positive real number with default value equal to 0.9. It is
used to define the threshold. The change-points are estimated by thresholding
with threshold equal to |
points |
A positive integer with default value equal to 3. It defines the distance between two consecutive end- or start-points of the right- or left-expanding intervals, respectively. |
Value
The solution path for the case of piecewise-constant signals.
Author(s)
Andreas Anastasiou, a.anastasiou@lse.ac.uk
References
Anastasiou, A. and Fryzlewicz, P. (2018). Detecting multiple generalized change-points by isolating single ones.
Examples
three.cpt <- c(rep(4,4000),rep(0,4000),rep(-4,4000),rep(1,4000))
three.cpt.noise <- three.cpt + rnorm(16000)
solution.path <- sol_path_pcm(three.cpt.noise)