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mosum (version 1.2.7)

Moving Sum Based Procedures for Changes in the Mean

Description

Implementations of MOSUM-based statistical procedures and algorithms for detecting multiple changes in the mean. This comprises the MOSUM procedure for estimating multiple mean changes from Eichinger and Kirch (2018) and the multiscale algorithmic extension from Cho and Kirch (2022) , as well as the bootstrap procedure for generating confidence intervals about the locations of change points as proposed in Cho and Kirch (2022) . See also Meier, Kirch and Cho (2021) which accompanies the R package.

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Version

Install

install.packages('mosum')

Monthly Downloads

315

Version

1.2.7

License

GPL (>= 3)

Maintainer

Haeran Cho

Last Published

October 22nd, 2022

Functions in mosum (1.2.7)

get_local_costs

Compute the Local cost terms of combination icomb (for RSS resp. sBIC). Use pre-computed partial sum matrix sub_sums (see extract_sub) for speedup

Is index i_child a child of index i_parent? ASSERT: i_child is of the form (i_parent XOR i_help), with i_help having exactly one non-zero bit

Algorithm II (Local change-point search with SC)

Identify the local environment for exhaustive search

Localised pruning algorithm

Helping function for algorithm 2: Pre-compute the partial sums S_i = sumj=k_i+1^k_i+1x_i and the partial sums of squared T_i = sumj=k_i+1^k_i+1x_i^2 between the (sorted) candidates k_i and k_i+1 in cand. Output: data frame with 4 columns k_i | k_i+1 | S_i | T_i

Get integer vector of changepoint indices, based on bool-field representation of combinations. E.g. for combination index 11 [=1011]: get_comb_ind(c(T,F,T,T))=11

Compute bootstrapped mosum statistic and return maximum position thereof

helping function for bootstrap (compute local means)

modelSignal.blocks

Creating Time-Series according to example model

MOSUM asymptotic p-value

MOSUM statistic

MOSUM procedure for multiple change point estimation

mosum.asymptoticA

Help function: asymptotic scaling.

modelSignal.mix

Creating Time-Series according to example model

modelSignal.fms

Creating Time-Series according to example model

modelSignal.stairs10

Creating Time-Series according to example model

modelSignal.teeth10

Creating Time-Series according to example model

plot.mosum.cpts

Plotting the output from MOSUM procedure

plot.mosum.stat

Plotting MOSUM statistics

plot.multiscale.cpts

Plotting the output from multiscale MOSUM procedure

print.mosum.cpts

Change points estimated by MOSUM procedure

mosum.asymptoticB

Help function: asymptotic shift

print.multiscale.cpts

Change points estimated by multiscale MOSUM procedure

mosum.criticalValue

MOSUM asymptotic critical value

equivalent to rollsum(x, k=G, fill=NA, align="left") in the package zoo, but optimized for speed

multiscale.localPrune

Multiscale MOSUM algorithm with localised pruning

next_bit_permutation

Next value to iterate (in lexicographical order) over all bit permutaions having l bits set to 1. Example sequence (2 bits): 0011, 0101, 0110, 1001, 1010, 1100. Source: https://stackoverflow.com/questions/1851134/generate-all-binary-strings-of-length-n-with-k-bits-set

start_bit_permutations

Starting value to iterate (in lexicographical order) over all bit permutaions having l bits set to 1. E.g.: start_bit_permutations(2) = 3 [=0..011].

where is leftmost one? https://www.geeksforgeeks.org/find-significant-set-bit-number/

Piecewise constant test signal

Test data with piecewise constant mean

multiscale.bottomUp

Multiscale MOSUM algorithm with bottom-up merging

multiscale.grid

Multiscale bandwidth grids

numberOfSetBits

Get number of non-zero bits of a 32bit integer Source: https://stackoverflow.com/questions/109023/how-to-count-the-number-of-set-bits-in-a-32-bit-integer

persp3D.multiscaleMosum

3D Visualisation of multiscale MOSUM statistics

summary.mosum.cpts

Summary of change points estimated by MOSUM procedure

summary.multiscale.cpts

Summary of change points estimated by multiscale MOSUM procedure

bootstrapped_timeSeries

Obtain bootstrap replicate of time series

bandwidths.default

Default choice for the set of multiple bandwidths

confint.multiscale.cpts

Confidence intervals for change points

confint.mosum.cpts

Confidence intervals for change points

eta_criterion_help

extract changepoints from candidates with eta criterion

detect.interval

Final detection interval

cpts_bootstrap_help

Helping function to get bootstrap replicates of change point estimates

Helping/wrapper fuction for C++ calls

Remove duplicated from all.cpts data frame: In case one change being added multiple times, choose the one with smallest p-value

comb_contains_cpt

Does the combination comb of changepoints contain the changepoint k_ind?