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L2hdchange (version 1.0)

L2 Inference for Change Points in High-Dimensional Time Series

Description

Provides a method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. See Li et al. (2023) "L2 Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM". arXiv preprint .

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Version

Install

install.packages('L2hdchange')

Monthly Downloads

155

Version

1.0

License

GPL (>= 3)

Maintainer

Rui Lin

Last Published

July 20th, 2023

Functions in L2hdchange (1.0)

genZ

Generate a random Gaussian vector
get_V_l2_MAinf.no_nbd

Obtain the standardised gap vector
plot_result.result_nbd

Plot the time series and change-points
get_breaks

Obtain the time-stamps and spatial locations with breaks
plot_result.result_no_nbd

Plot the time series and change-points
get_lr_var

Compute the long-run variance of the gap vector
get_teststats

Obtain the test statistics
get_breaks.nbd

Obtain the time-stamps and spatial locations with breaks
get_breaks.no_nbd

Obtain the time-stamps and spatial locations without break
hdchange

Estimate the time-stamps and spatial locations with breaks
plot_result

Plot the time series and change-points
sim_hdchange_no_nbd

Simulate data without neighbourhood
sim_hdchange_nbd

Simulate data with neighbourhood
get_cov_x_MAinf

The covariance matrix for generating random Gaussian vector
test_existence

Test the existence of change-points in the data
ts_hdchange

'no_nbd' or 'nbd' object construction
summary.result_nbd

Summarize the estimation results
get_critical

Obtain critical values and threshold
summary.result_no_nbd

Summarize the estimation results
get_teststats.no_nbd

Obtain the test statistics
get_teststats.nbd

Obtain the test statistics
covid_data

U.S. COVID-19 Data
get_GS_MAinf.no_nbd

Obtain the simulated standardised gap vector
est_hdchange

Construct an S3 class 'no_nbd' or 'nbd' for change-point estimation
get_GS_MAinf.nbd

Obtain the simulated standardised gap vector
get_GS_MAinf

Obtain the simulated standardised gap vector
check_nbd

Check the validity of the neighbourhood specification
covid_nbd_info

U.S. COVID-19 Data Neighbourhood Information
get_V_l2_MAinf

Obtain the standardised gap vector
get_V_l2_MAinf.nbd

Obtain the standardised gap vector
get_critical.no_nbd

Obtain critical values and threshold
get_critical.nbd

Obtain critical values and threshold