BS.cov {changepoints} | R Documentation |
Perform binary segmentation for covariance change points detection through Operator Norm.
BS.cov(X, s, e, level = 0)
X |
A |
s |
A |
e |
A |
level |
A parameter for tracking the level at which a change point is detected. Should be fixed as 0. |
An object of class
"BS", which is a list
with the structure:
S: A vector of estimated changepoints (sorted in strictly increasing order).
Dval: A vector of values of CUSUM statistic based on KS distance.
Level: A vector representing the levels at which each change point is detected.
Parent: A matrix with the starting indices on the first row and the ending indices on the second row.
Haotian Xu
Wang, Yu and Rinaldo (2021) <doi:10.3150/20-BEJ1249>.
thresholdBS
for obtain change points estimation.
p = 10
A1 = gen.cov.mat(p, 1, "equal")
A2 = gen.cov.mat(p, 2, "diagonal")
A3 = gen.cov.mat(p, 3, "power")
X = cbind(t(MASS::mvrnorm(100, mu = rep(0, p), A1)),
t(MASS::mvrnorm(150, mu = rep(0, p), A2)),
t(MASS::mvrnorm(200, mu = rep(0, p), A3)))
temp = BS.cov(X, 1, 450)
thresholdBS(temp, 10)