kcpa {ecp} R Documentation

## Kernel Change Point Analysis

### Description

An algorithm for multiple change point analysis that uses the 'kernel trick' and dynamic programming.

### Usage

kcpa(X, L, C)


### Arguments

 X A T x d matrix containing the length T time series with d-dimensional observations. L The maximum number of change points. C The constant used to penalize the inclusion of additional change points in the fitted model.

### Details

Segments are found through the use of dynamic programming and the kernel trick.

### Value

If the algorithm determines that the best fit is obtained through using k change points then the returned value is an array of length k, containing the change point locations.

### Author(s)

Nicholas A. James

### References

Arlot S., Celisse A., Harchaoui Z. (2019). A Kernel Multiple Change-point Algorithm via Model Selection. J. Mach. Learn. Res., 20, 162:1-162:56.

[Package ecp version 3.1.3 Index]