Perform the exhaustive search to "thin out" redundant break points.
var.second.step.search(
data_y,
q,
max.iteration = max.iteration,
tol = tol,
cp.first,
beta.est,
blocks
)input data matrix, with each column representing the time series component
the AR order
max number of iteration for the fused lasso
tolerance for the fused lasso
the selected break points after the first step
the estimated parameters by block fused lasso
the blocks
A list object, which contains the followings
a set of selected break point after the exhaustive search step
the estimated coefficient matrix for each segmentation