well_log {fastcpd}

Well-log Dataset from Numerical Bayesian Methods Applied to Signal Processing

Description

This is the well-known well-log dataset used in many changepoint papers obtained from Alan Turing Institute GitHub repository and licensed under the MIT license.

Usage

well_log

Format

A Time-Series of length 4050.

Source

<https://github.com/alan-turing-institute/TCPD>

Examples

result <- fastcpd.mean(well_log, trim = 0.001)
summary(result)
plot(result)

if (requireNamespace("matrixStats", quietly = TRUE)) {
  sigma2 <- variance.median(well_log)
  median_loss <- function(data) {
    sum(abs(data - matrixStats::colMedians(data))) / sqrt(sigma2) / 2
  }
  result <- fastcpd(
    formula = ~ x - 1,
    data = cbind.data.frame(x = well_log),
    cost = median_loss,
    trim = 0.002
  )
  summary(result)

  segment_starts <- c(1, result@cp_set)
  segment_ends <- c(result@cp_set - 1, length(well_log))
  residual <- NULL
  for (segment_index in seq_along(segment_starts)) {
    segment <-
      well_log[segment_starts[segment_index]:segment_ends[segment_index]]
    residual <- c(residual, segment - median(segment))
  }

  result@residuals <- matrix(residual)
  result@family <- "mean"
  result@data <- data.frame(x = c(well_log))
  plot(result)
}