post.processing {wbsts}

Post-processing of the change-points

Description

A function to control the number of change-points estimated from the WBS algorithm and to reduce the risk of over-segmentation.

Usage

post.processing(z,br,del=-1,epp=-1,C_i=NULL,scales=NULL)

Arguments

z

The wavelet periodogram matrix.

br

The change-points to be post-processed.

del

The minimum allowed size of a segment.

epp

A minimum adjustment for the bias present in E^{(i)}_{t,T}.

C_i

The CUSUM threshold.

scales

Which wavelet periodogram scales to be used.

References

K. Korkas and P. Fryzlewicz (2017), Multiple change-point detection for non-stationary time series using Wild Binary Segmentation. Statistica Sinica, 27, 287-311. (http://stats.lse.ac.uk/fryzlewicz/WBS_LSW/WBS_LSW.pdf)