| changepoint {envoutliers} | R Documentation |
Changepoint analysis - Only intended for developer use
Description
Performs changepoint analysis using PELT algorithm or A Nonparametric Approach for Multiple Changepoints.
The function is called by KRDetect.outliers.changepoint and is not intended for use by regular users of the package.
Usage
changepoint(x, cp.analysis.type, pen.value, alpha.edivisive)
Arguments
x |
a numeric vector of data values. |
cp.analysis.type |
a character string specifying the type of changepoint analysis Possible options are
|
pen.value |
A character string giving the formula for manual penalty used in PELT algorithm.
Only required for |
alpha.edivisive |
a numeric value giving the moment index used for determining the distance between and within segments in the nonparametric changepoint model. |
Details
This function performs changepoint analysis using parametric or nonparametric approach. The function is exported for developer use only. It does not perform any checks on inputs since it is only convenience function for partitioning smoothing residuals into homogeneous segments.
Value
A list is returned with elements:
x |
a numeric vector of data values |
cp.segmet |
an estimated integer membership vector for individual segments |
References
Killick R, Fearnhead P, Eckley IA (2012). Optimal detection of changepoints with a linear computational cost. Journal of the American Statistical Association, 107(500), 1590–1598.
Matteson D, James N (2014). A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data. Journal of the American Statistical Association, 109(505), 334–345.
Nicholas A. James, David S. Matteson (2014). ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data. Journal of Statistical Software, 62(7), 1-25, URL "http://www.jstatsoft.org/v62/i07/".
Killick R, Haynes K, Eckley IA (2016). changepoint: An R package for changepoint analysis. R package version 2.2.2, <URL: https://CRAN.R-project.org/package=changepoint>.