local.refine.CV.VAR1 {changepoints}

Local refinement for VAR1 change points detection.

Description

Perform local refinement for VAR1 change points detection.

Usage

local.refine.CV.VAR1(cpt_init, DATA, zeta_set, delta_local)

Arguments

cpt_init

A integer vector of initial change points estimation (sorted in strictly increasing order).

DATA

A numeric matrix of observations with with horizontal axis being time, and vertical axis being dimensions.

zeta_set

A numeric vector of candidate tuning parameters for group lasso penalty.

delta_local

A strictly integer scalar of minimum spacing for group lasso.

Value

A list with the following structure:

cpt_hat

A vector of estimated change point locations (sorted in strictly increasing order)

zeta

A scalar of selected zeta by cross-validation

Author(s)

Daren Wang & Haotian Xu

References

Wang, Yu, Rinaldo and Willett (2019) <arxiv:1909.06359>