cpt-class {changepoint}

Class "cpt"

Description

A class for changepoint objects.

Objects from the Class

Objects can be created by calls of the form new("cpt", ...).

new("cpt", ...):

creates a new object with class cpt

Slots

data.set:

Object of class "ts", a coerced time series of the original data.

cpttype:

Object of class "character", the type of changepoint that was identified.

method:

Object of class "character", the method that was used to search for changepoints.

test.stat:

Object of class "character", the test statistic for the analysis of the data.

pen.type:

Object of class "character", the penalty type specified in the analysis.

pen.value:

Object of class "numeric", the value of the penalty used in the analysis.

minseglen:

Object of class "numeric", the minimum segment length (no. of observations between changepoints) used in the analysis.

cpts:

Object of class "numeric", vector of changepoints identified.

ncpts.max:

Object of class "numeric", maximum number of changepoint that can be identified.

param.est:

Object of class "list", list where each element is a vector of parameter estimates, if requested.

date:

Object of class "character", date and time the changepoint analysis was run.

version:

Object of class "character", version number of the package used when the analysis was run.

Methods

cpts

signature(object = "cpt"): retrieves cpts slot

cpttype

signature(object = "cpt"): retrieves cpttype slot

data.set

signature(object = "cpt"): retrieves vector version of data.set slot

data.set.ts

signature(object = "cpt"): retrieves time series version of data.set slot

test.stat

signature(object = "cpt"): retrieves test.stat slot

ncpts.max

signature(object = "cpt"): retrieves ncpts.max slot

method

signature(object = "cpt"): retrieves method slot

minseglen

signature(object = "cpt"): retrieves minseglen slot

param.est

signature(object = "cpt"): retrieves param.est slot

pen.type

signature(object = "cpt"): retrieves pen.type slot

pen.value

signature(object = "cpt"): retrieves pen.value slot

cpts<-

signature(object = "cpt"): replaces cpts slot

cpttype<-

signature(object = "cpt"): replaces cpttype slot

data.set<-

signature(object = "cpt"): replaces data.set slot

test.stat<-

signature(object = "cpt"): replaces test.stat slot

ncpts.max<-

signature(object = "cpt"): replaces ncpts.max slot

method<-

signature(object = "cpt"): replaces method slot

minseglen<-

signature(object = "cpt"): replaces minseglen slot

param.est<-

signature(object = "cpt"): replaces param.est slot

pen.type<-

signature(object = "cpt"): replaces pen.type slot

pen.value<-

signature(object = "cpt"): replaces pen.value slot

print

signature(object = "cpt"): prints details of the cpt object including summary

summary

signature(object = "cpt"): prints a summary of the cpt object

plot

signature(object = "cpt"): plots the cpt object with changepoints highlighted

param

signature(object = "cpt"): calculates the parameter estimates for the cpt object

logLik

signature(object = "cpt"): returns the overall log-likelihood of the cpt object

Author(s)

Rebecca Killick

See Also

data.set-methods,cpts-methods,cpt.reg,cpt.mean,cpt.var,cpt.meanvar

Examples

showClass("cpt") # shows the structure of the cpt class

x=new("cpt") # creates a new object with the cpt class defaults
cpts(x) # retrieves the cpts slot from x
cpts(x)<-c(10,50,100) # replaces the cpts slot from x with c(10,50,100)

# Example of a change in variance at 100 in simulated normal data
set.seed(1)
x=c(rnorm(100,0,1),rnorm(100,0,10))
ans=cpt.var(x) 
print(ans) # prints details of the analysis including a summary
summary(ans)
plot(ans) # plots the data with change (vertical line) at 100
logLik(ans) # raw likelihood of the data with changepoints, second value is likelihood + penalty