first.step {MissCP} | R Documentation |
Perform the block fused lasso with thresholding to detect candidate break points.
first.step(
data_y,
data_x,
lambda1,
lambda2,
max.iteration = max.iteration,
tol = tol,
blocks,
cv.index,
fixed_index = NULL,
nonfixed_index = NULL
)
data_y |
input data matrix Y, with each column representing the time series component |
data_x |
input data matrix X |
lambda1 |
tuning parmaeter lambda_1 for fused lasso |
lambda2 |
tuning parmaeter lambda_2 for fused lasso |
max.iteration |
max number of iteration for the fused lasso |
tol |
tolerance for the fused lasso |
blocks |
the blocks |
cv.index |
the index of time points for cross-validation |
fixed_index |
index for linear regression model with only partial compoenents change. |
nonfixed_index |
index for linear regression model with only partial compoenents change. |
A list object, which contains the followings
estimated jump size in L2 norm
estimated jump size in L1 norm
estimated change points in the first step
estimated parameters in the first step