changepoint (version 1.1.5)

segneigh.mean.cusum: Multiple Changes in Mean using Segment Neighbourhood method - Cumulative Sums

Description

Calculates the optimal positioning and number of changepoints for Cumulative Sums test statistic using Segment Neighbourhood method.

Usage

segneigh.mean.cusum(data, Q=5, pen=0)

Arguments

data

A vector containing the data within which you wish to find changepoints.

Q

Numeric value of the maximum number of segments (number of changepoints +1) you wish to search for, default is 5.

pen

Numeric value of the linear penalty function. This value is used in the final decision as to the optimal number of changepoints.

Value

• A list is returned containing the following items
• cps
  Matrix containing the changepoint positions for 1,...,Q changepoints.
• op.cpts
  The optimal changepoint locations for the penalty supplied.

Details

This function is used to find a multiple changes in mean for data that is not assumed to have a particular distribution. The value returned is the result of finding the optimal location of up to Q changepoints using the cumulative sums test statistic. Once all changepoint locations have been calculated, the optimal number of changepoints is decided using pen as the penalty function.

References

M. Csorgo, L. Horvath (1997) Limit Theorems in Change-Point Analysis, Wiley

E. S. Page (1954) Continuous Inspection Schemes, Biometrika 41(1/2), 100--115

Segment Neighbourhoods: Auger, I. E. And Lawrence, C. E. (1989) Algorithms for the Optimal Identification of Segment Neighborhoods, Bulletin of Mathematical Biology 51(1), 39--54

See Also

segneigh.mean.cusum,cpt.mean,multiple.mean.cusum,single.mean.cusum,binseg.mean.cusum

Examples

# Example of multiple changes in mean at 50,100,150 in simulated normal data
set.seed(1)
x=c(rnorm(50,0,1),rnorm(50,5,1),rnorm(50,10,1),rnorm(50,3,1))
segneigh.mean.cusum(x,Q=5,pen=1) # returns optimal number as 3 and the locations as c(50,101,150)
segneigh.mean.cusum(x,Q=3,pen=1) # returns optimal number as 2 as this is the maximum number of
#changepoints it can find.  If you get the maximum number, you need to increase Q until this is not
#the case.

# Example no change in mean
set.seed(10)
x=rnorm(200,0,1)
segneigh.mean.cusum(x,Q=5,pen=1) # returns optimal number as 0