| find_changepoints {RChest} | R Documentation |
find_changepoints
Description
Returns the position of changepoints in the sequence. NOTE: PyChest needs to be installed first by calling ‘install_PyChest’.
Usage
find_changepoints(sample, minimum_distance, process_count)
Arguments
sample |
A vector of floats corresponding to the piecewise stationary sample where the retrospective changes are to be sought |
minimum_distance |
A real number between 0 and 1 corresponding to a lower-bound on the minimum normalized length of the stationary segments (as percentage of total sample length) |
process_count |
The different number of distinct stationary processes present. |
Value
The list of changepoints in increasing size
References
Khaleghi A, Ryabko D (2014). “Asymptotically consistent estimation of the number of change points in highly dependent time series.” In International Conference on Machine Learning, 539–547.
Khaleghi A, Ryabko D (2012). “Locating changes in highly dependent data with unknown number of change points.” In Advances in Neural Information Processing Systems, 3086–3094.