lsar.chgpt {TSSS} | R Documentation |
Estimation of the Change Point
Description
Precisely estimate a change point of subinterval for locally stationary AR model.
Usage
lsar.chgpt(y, max.arorder = 20, subinterval, candidate, plot = TRUE, ...)
Arguments
y |
a univariate time series. |
max.arorder |
highest order of AR model. |
subinterval |
a vector of the form |
candidate |
a vector of the form
|
plot |
logical. If |
... |
graphical arguments passed to the |
Value
An object of class "chgpt"
which has a plot
method. This is a
list with the following components:
aic |
AICs of the AR models fitted on |
aicmin |
minimum AIC. |
change.point |
estimated change point. |
subint |
information about the original sub-interval. |
References
Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. Chapman & Hall/CRC.
Examples
# seismic data
data(MYE1F)
lsar.chgpt(MYE1F, max.arorder = 10, subinterval = c(200, 1000),
candidate = c(400, 800))
lsar.chgpt(MYE1F, max.arorder = 10, subinterval = c(600, 1400),
candidate = c(800, 1200))