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InspectChangepoint (version 1.1)

High-Dimensional Changepoint Estimation via Sparse Projection

Description

Provides a data-driven projection-based method for estimating changepoints in high-dimensional time series. Multiple changepoints are estimated using a (wild) binary segmentation scheme.

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Version

Install

install.packages('InspectChangepoint')

Monthly Downloads

257

Version

1.1

License

GPL-3

Maintainer

Tengyao Wang

Last Published

January 9th, 2020

Functions in InspectChangepoint (1.1)

cusum.transform

CUSUM transformation

print.inspect

Print function for 'inspect' class objects

rescale.variance

Noise standardisation for multivariate time series.

vector.soft.thresh

Soft thresholding a vector

sparse.svd

Computing the sparse leading left singular vector of a matrix

single.change

Generating high-dimensional time series with exactly one change in the mean structure

summary.inspect

Summary function for 'inspect' class objects

vector.norm

Norm of a vector

locate.change

Single changepoint estimation

inspect

Informative sparse projection for estimation of changepoints (inspect)

plot.inspect

Plot function for 'inspect' class objects

power.method

Power method for finding the leading eigenvector of a symmetric matrix

plot.hdchangeseq

Plot function for 'hdchangeseq' class

multi.change

Generating a high-dimensional time series with multiple changepoints

PiW

Projection onto the standard simplex

PiS

Matrix projection onto the nuclear norm unit sphere

compute.threshold

Computing threshold used in inspect