fastcpd_lasso {fastcpd}

Find change points efficiently in penalized linear regression models

Description

fastcpd_lasso() and fastcpd.lasso() are wrapper functions of fastcpd() to find change points in penalized linear regression models. The function is similar to fastcpd() except that the data is by default a matrix or data frame with the response variable as the first column and thus a formula is not required here.

Usage

fastcpd_lasso(data, ...)

fastcpd.lasso(data, ...)

Arguments

data

A matrix or a data frame with the response variable as the first column.

...

Other arguments passed to fastcpd(), for example, segment_count.

Value

A fastcpd object.

See Also

fastcpd()

Examples

if (
  requireNamespace("dplyr", quietly = TRUE) &&
    requireNamespace("ggplot2", quietly = TRUE) &&
    requireNamespace("mvtnorm", quietly = TRUE) &&
    requireNamespace("reshape2", quietly = TRUE)
) {
  set.seed(1)
  n <- 480
  p_true <- 5
  p <- 50
  x <- mvtnorm::rmvnorm(n, rep(0, p), diag(p))
  theta_0 <- rbind(
    runif(p_true, -5, -2),
    runif(p_true, -3, 3),
    runif(p_true, 2, 5),
    runif(p_true, -5, 5)
  )
  theta_0 <- cbind(theta_0, matrix(0, ncol = p - p_true, nrow = 4))
  y <- c(
    x[1:80, ] %*% theta_0[1, ] + rnorm(80, 0, 1),
    x[81:200, ] %*% theta_0[2, ] + rnorm(120, 0, 1),
    x[201:320, ] %*% theta_0[3, ] + rnorm(120, 0, 1),
    x[321:n, ] %*% theta_0[4, ] + rnorm(160, 0, 1)
  )
  result <- fastcpd.lasso(
    cbind(y, x),
    multiple_epochs = function(segment_length) if (segment_length < 30) 1 else 0
  )
  summary(result)
  plot(result)

  thetas <- result@thetas
  thetas <- cbind.data.frame(thetas, t(theta_0))
  names(thetas) <- c(
    "segment 1", "segment 2", "segment 3", "segment 4",
    "segment 1 truth", "segment 2 truth", "segment 3 truth", "segment 4 truth"
  )
  thetas$coordinate <- c(seq_len(p_true), rep("rest", p - p_true))
  molten <- reshape2::melt(thetas, id.vars = "coordinate")
  molten <- dplyr::mutate(
    molten,
    segment = gsub("segment ", "", variable),
    segment = gsub(" truth", "", segment),
    height = as.numeric(gsub("segment.*", "", segment)) +
      0.2 * as.numeric(grepl("truth", variable)),
    parameter = ifelse(grepl("truth", variable), "truth", "estimated")
  )
  ggplot2::ggplot() +
    ggplot2::geom_point(
      data = molten,
      ggplot2::aes(
        x = value, y = height, shape = coordinate, color = parameter
      ),
      size = 4
    ) +
    ggplot2::ylim(0.8, 4.4) +
    ggplot2::ylab("segment") +
    ggplot2::theme_bw()
}