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MsFPOP

Source: R/MsFPOP.R
MsFPOP.Rd

MsFPOP is an exact segmentation algorithm that extends functionnal pruning ideas of Rigaill 2015 and Maidstone et al. 2017 to a least squares criterion with a multiscale penalty promoting well-spread changepoints. Such a penalty has been proposed in Verzelen et al. (2020), and it achieves optimal rates for changepoint detection and changepoint localization (arXiv:2010.11470).

Usage

MsFPOP(
  y,
  beta,
  alpha,
  sampling_method = "rand",
  sampling_method_parameter = 1,
  wt
)

Arguments

y

A vector of observations.

beta

A constant used in the the penalty.

alpha

A constant used in the the penalty. (recommended: gamma+beta*log(length(y)))

sampling_method

A sampling method for changepoint candidates ("rand, "all").

sampling_method_parameter

A parameter used by the sampling method.

wt

A vector of weights associated to the observations.

Value

A list that includes the estimated position of the changepoints.