tuneBSmultinonpar {changepoints} R Documentation

## A function to compute change points based on the multivariate nonparametic method with tuning parameter selected by FDR control.

### Description

A function to compute change points based on the multivariate nonparametic method with tuning parameter selected by FDR control.

### Usage

tuneBSmultinonpar(BS_object, Y)


### Arguments

 BS_object A "BS" object produced by WBS.multi.nonpar. Y A numeric matrix of observations with with horizontal axis being time, and vertical axis being dimension.

### Value

A vector of estimated change points.

### References

Padilla, Yu, Wang and Rinaldo (2019) <arxiv:1910.13289>.

WBS.multi.nonpar.

### Examples

n = 70
v = c(floor(n/3), 2*floor(n/3)) # location of change points
p = 4
Y = matrix(0, p, n) # matrix for data
mu0 = rep(0, p) # mean of the data
mu1 = rep(0, p)
mu1[1:floor(p/2)] = 2
Sigma0 = diag(p) #Covariance matrices of the data
Sigma1 = diag(p)*2
# Generate data
for(t in 1:n){
if(t < v || t > v){
Y[,t] = MASS::mvrnorm(n = 1, mu0, Sigma0)
}
if(t >= v && t < v){
Y[,t] = MASS::mvrnorm(n = 1, mu1, Sigma1)
}
}## close for generate data
M = 8
intervals = WBS.intervals(M = M, lower = 1, upper = ncol(Y)) #Random intervals
K_max = 30
h = 5*(K_max*log(n)/n)^{1/p} # bandwith
temp = WBS.multi.nonpar(Y, Y, 1, ncol(Y), intervals$Alpha, intervals$Beta, h, delta = 10)
S = tuneBSmultinonpar(temp, Y)


[Package changepoints version 1.1.0 Index]