LinearDetect (version 0.1.5)

BIC.threshold.ggm: BIC threshold for final parameter estimation (GGM)

Description

BIC threshold for final parameter estimation (GGM)

Usage

BIC.threshold.ggm(
  beta.final,
  k,
  m.hat,
  brk,
  data_y,
  data_x = NULL,
  b_n = 2,
  nlam = 20
)

Arguments

beta.final

a combined matrix of estimated parameter coefficient matrices for all stationary segementations

k

dimensions of parameter coefficient matrices

m.hat

number of estimated change points

brk

vector of estimated change points

data_y

input data matrix (response), with each column representing the time series component

data_x

input data matrix (predictor), with each column representing the time series component

b_n

the block size

nlam

number of hyperparameters for grid search

Value

lambda.val.best, the tuning parameter lambda selected by BIC.