bcpa (version 1.3.2)

GetBestBreak: Find most likely change point in irregular time series

Description

Finds the single best change point according to the likelihood function. Used internally within WindowSweep.

Usage

GetBestBreak(x, t, range = 0.6, ...)

Arguments

x

vector of time series values.

t

vector of times of measurements associated with x.

range

of possible breaks. Default (0.6) runs approximately from 1/5 to 4/5 of the total length of the time series.

...

additional parameters to pass to GetDoubleL function.

Value

returns a single row (vector) with elements: breaks,tbreaks,mu1,sigma1,rho1,LL1,mu2,sigma2,rho2,LL2,LL. The breakpoint is calculated for a range of possible values of width range*l (where l is the length of the time series). The output of this function feeds WindowSweep.

See Also

WindowSweep which uses it, and GetDoubleL for the likelihood estimation.

Examples

# NOT RUN {
# An example with a single break:
x <- c(arima.sim(list(ar = 0.9), 20) + 10, arima.sim(list(ar = 0.1), 20)) 
t <- 1:length(x)
plot(t,x, type="l")
(bb <- GetBestBreak(x,t, tau=FALSE))
abline(v = bb[2], col=2)
# }