DP.poly {changepoints}

Dynamic programming algorithm for univariate polynomials change points detection.

Description

Perform dynamic programming algorithm for univariate polynomials change points detection.

Usage

DP.poly(y, r, gamma, delta)

Arguments

y

A numeric vector of observations.

r

An integer scalar order of polynomials.

gamma

A numeric scalar of the tuning parameter associated with the l_0 penalty.

delta

A strictly integer scalar of minimum spacing.

Value

A list with the following structure:

An object of class "DP", which is a list with the following structure:

partition

A vector of the best partition.

yhat

A vector of mean estimation for corresponding to the best partition.

cpt

A vector of change points estimation.

Author(s)

Haotian Xu

References

Yu and Chatterjee (2020) <arXiv:2007.09910>

Examples

set.seed(0)
cpt_true = c(20, 50, 170)
y = rnorm(300) + c(rep(0,20),rep(2,30),rep(0,120),rep(2,130))
plot.ts(y)
temp = DP.poly(y, r = 2, gamma = 15, delta = 5)
temp$cpt