changepoint (version 0.3)

binseg.var.norm: Multiple Changes in Variance using Binary Segmentation method - Normal Data

Description

Calculates the optimal positioning and number of changepoints for Normal data using Binary Segmentation method. Note that this is an approximate method.

Usage

binseg.var.norm(data, Q=5, pen=0,know.mean=FALSE,mu=-1000)

Arguments

data

A vector containing the data within which you wish to find changepoints.

Q

Numeric value of the maximum number of changepoints you wish to search for, default is 5.

pen

Numeric value of the linear penalty function. This value is used in the decision as to the optimal number of changepoints.

know.mean

Logical, if TRUE then the mean is assumed known and mu is taken as its value. If FALSE, and mu=-1000 (default value) then the mean is estimated via maximum likelihood. If FALSE and the value of mu is supplied, mu is not estimated but is counted as an es

mu

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

Value

• A list is returned containing the following items
• cps
  2xQ Matrix containing the changepoint positions on the first row and the test statistic on the second row.
• op.cpts
  The optimal changepoint locations for the penalty supplied.
• pen
  Penalty used to find the optimal number of changepoints.

Details

This function is used to find a multiple changes in variance for data that is assumed to be normally distributed. The value returned is the result of finding the optimal location of up to Q changepoints using the log of the likelihood ratio statistic. Once all changepoint locations have been calculated, the optimal number of changepoints is decided using pen as the penalty function.

References

Binary Segmentation: Scott, A. J. and Knott, M. (1974) A Cluster Analysis Method for Grouping Means in the Analysis of Variance, Biometrics 30(3), 507--512

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

See Also

binseg.mean.norm,binseg.meanvar.norm,cpt.var,PELT.var.norm,multiple.var.norm,single.var.norm,segneigh.var.norm

Examples

# Example of multiple changes in variance at 50,100,150 in simulated normal data
set.seed(1)
x=c(rnorm(50,0,1),rnorm(50,0,10),rnorm(50,0,5),rnorm(50,0,1))
binseg.var.norm(x,Q=5, pen=2*log(200)) # returns optimal number as 3 and the locations as c(50,99,150)
binseg.var.norm(x,Q=2, pen=2*log(200)) # returns optimal number as 2 as this is the maximum number of changepoints it can find.  If you get the maximum number, you need to increase Q until this is not the case.

# Example no change in variance
set.seed(10)
x=rnorm(200,0,1)
binseg.var.norm(x,Q=5, pen=2*log(200)) # returns optimal number as 0