StepSignalMargiLike-package {StepSignalMargiLike}

Estimating Change Points Using Marginal Likelihood

Description

(See the Manual.pdf file in data folder for a detail description of all functions, and a walkthrough tutorial.)

This packages provides function to estimate multiple change points using marginal likelihood method proposed by Du, Kao and Kou (2015), which we would denoted as DKK2015 afterward. est.changepoints estimates change-points. PlotChangePoints plots. Other functions are for the normal and Poisson examples in DKK2015.

Details

Package:	StepSignalMargiLike
Type:	Package
Version:	2.5.9
Date:	2017-8-22
License:	GNU GENERAL PUBLIC LICENSE Version 3, 29 June 2007

Author(s)

Chao Du, Chu-Lan Michael Kao, Samuel Kou

Maintainer: Chu-Lan Michael Kao <[e-mail]>

References

Chao Du, Chu-Lan Michael Kao and S. C. Kou (2016), "Stepwise Signal Extraction via Marginal Likelihood"

Examples

n <- 5
data.x <- rnorm(n, 1, 1)
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 2,1))
data.x <- c(data.x, rnorm(n, 10,1))
data.x <- c(data.x, rnorm(n, 1,1))
data.t <- 1:(5*n)

prior <- prior.norm.A(data.x)
max.segs <- 10

index.ChPT <- est.changepoints(data.x, mode="normal", prior)
est.mean <- est.mean.norm(data.x, index.ChPT, prior)
PlotChangePoints(data.x, data.t, index.ChPT, est.mean)

PlotChangePoints(data.x, data.t, index.ChPT, est.mean, type.data="p",
  col.data="green", col.est="black", main="Stepwise Signal Estimation",
  sub="Using Marginal Likelihood", xlab="time", ylab="value")