changepoint (version 1.1.5)

single.meanvar.gamma: Single Change in Mean and Variance - Gamma Data (i.e. change in scale parameter)

Description

Calculates the scaled log-likelihood (assuming the data is Gamma distributed) for all possible changepoint locations and returns the single most probable (max).

Usage

single.meanvar.gamma(data,shape=1,penalty="SIC",pen.value=0,class=TRUE,
param.estimates=TRUE)

Arguments

data

A vector, ts object or matrix containing the data within which you wish to find a changepoint. If data is a matrix, each row is considered a separate dataset.

shape

Numerical value of the true shape parameter for the data. Either single value or vector of length nrow(data). If data is a matrix and shape is a single value, the same shape parameter is used for each row.

penalty

Choice of "None", "SIC", "BIC", "AIC", "Hannan-Quinn" and "Manual" penalties. If Manual is specified, the manual penalty is contained in the pen.value parameter. The predefined penalties listed do NOT count the changepoint as a parameter, postfix a 1 e.

pen.value

The value of the penalty when using the Manual penalty option. This can be a numeric value or text giving the formula to use. Available variables are, n=length of original data, null=null likelihood, alt=alternative likelihood, tau=proposed changepoint,

class

Logical. If TRUE then an object of class cpt is returned. If FALSE a vector is returned.

param.estimates

Logical. If TRUE and class=TRUE then parameter estimates are returned. If FALSE or class=FALSE no parameter estimates are returned.

Value

• If class=TRUE then an object of S4 class "cpt" is returned. The slot cpts contains the changepoints that are solely returned if class=FALSE. The structure of cpts is as follows.

  If data is a vector (single dataset) then a single value is returned:

• cpt
  The most probable location of a changepoint if H0 was rejected or NA if H1 was rejected.
• If data is an mxn matrix (multiple datasets) then a vector is returned:
• cpt
  Vector of length m containing where each element is the result of the test for data[m,]. If cpt[m] is a number then it is the most probable location of a changepoint under H1. Otherwise cpt[m] has the value NA and indicates that H1 was rejected.

Details

This function is used to find a single change in scale parameter (mean and variance) for data that is assumed to be Gamma distributed. The value returned is the result of testing H0:no change in mean or variance against H1: single change in mean and/or variance using the log of the likelihood ratio statistic coupled with the penalty supplied.

References

Change in Gamma scale parameter: Chen, J. and Gupta, A. K. (2000) Parametric statistical change point analysis, Birkhauser

See Also

cpt.meanvar,single.meanvar.norm,cpt

Examples

# Example of a change in scale parameter (mean and variance) at 100 in simulated gamma data
set.seed(1)
x=c(rgamma(100,shape=1,rate=1),rgamma(100,shape=1,rate=5))
single.meanvar.gamma(x,penalty="SIC",class=FALSE) # returns 97 to show that the null hypothesis was
#rejected and the change in scale parameter is at 97
ans=single.meanvar.gamma(x,penalty="AIC")
cpts(ans) # returns 97 to show that the null hypothesis was rejected, the change in scale parameter
#is at 97

# Example of a data matrix containing 2 rows, row 1 has a change in scale parameter and row 2 had no
#change in scale parameter
set.seed(10)
x=c(rgamma(100,shape=1,rate=1),rgamma(100,shape=1,rate=10))
y=rgamma(200,shape=1,rate=1)
z=rbind(x,y)
single.meanvar.gamma(z,penalty="SIC",class=FALSE) # returns vector c(99,200) which shows that the
#first dataset has a change in scale parameter at 99 and the second dataset rejected H1 and has no
#change in scale parameter
ans=single.meanvar.gamma(z,penalty="Manual",pen.value="diffparam*log(n)") # list returned
cpts(ans[[1]]) # test using a manual penalty which is the same as the SIC penalty for this example. 
#The same changepoint is detected for the first dataset 
cpts(ans[[2]]) # same as above, no change found