local.refine.VAR1 {changepoints}

Local refinement for VAR1 change points detection.

Description

Perform local refinement for VAR1 change points detection.

Usage

local.refine.VAR1(cpt_init, DATA, zeta)

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

A numeric scalar of lasso penalty.

Value

An integer vector of locally refined change points estimation.

Author(s)

Daren Wang & Haotian Xu

References

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

See Also

local.refine.CV.VAR1.