sol.idetect {breakfast}R Documentation

Solution path generation via the Isolate-Detect method

Description

This function arranges all possible change-points in the mean of the input vector in the order of importance, via the Isolate-Detect (ID) method. It is developed to be used with the sdll and information criterion (ic) model selection rules.

Usage

sol.idetect(x, thr_ic = 0.9, points = 3)

Arguments

x

A numeric vector containing the data to be processed.

thr_ic

A positive real number with default value equal to 0.9. It is used to create the solution path. The lower the value, the larger the solution path vector.

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, as described in the Isolate-Detect methodology.

Details

The Isolate-Detect method and its algorithm is described in "Detecting multiple generalized change-points by isolating single ones", A. Anastasiou & P. Fryzlewicz (2021), Metrika, https://doi.org/10.1007/s00184-021-00821-6.

Value

An S3 object of class cptpath, which contains the following fields:

solutions.nested

TRUE, i.e., the change-point outputs are nested

solution.path

Locations of possible change-points in the mean of x, arranged in decreasing order of change-point importance

solution.set

Empty list

x

Input vector x

cands

Matrix of dimensions length(x) - 1 by 4. The first two columns are (start, end)-points of the detection intervals of the corresponding possible change-point location in the third column. The fourth column is a measure of strength of the corresponding possible change-point. The order of the rows is the same as the order returned in solution.path

method

The method used, which has value "idetect" here

References

A. Anastasiou & P. Fryzlewicz (2021). Detecting multiple generalized change-points by isolating single ones. Metrika, https://doi.org/10.1007/s00184-021-00821-6.

See Also

sol.idetect_seq, sol.not, sol.wbs, sol.wbs2, sol.tguh,

Examples

r3 <- rnorm(1000) + c(rep(0,300), rep(2,200), rep(-4,300), rep(0,200))
sol.idetect(r3)

[Package breakfast version 2.2 Index]