hcp_garch {harbinger} | R Documentation |
Change-point detection is related to event/trend change detection. Change Finder GARCH detects change points based on deviations relative to linear regression model doi:10.1109/TKDE.2006.1599387. It wraps the GARCH model presented in the rugarch library.
hcp_garch(sw_size = 5)
sw_size |
Sliding window size |
hcp_garch
object
library(daltoolbox)
#loading the example database
data(har_examples)
#Using example 14
dataset <- har_examples$example14
head(dataset)
# setting up change point method
model <- hcp_garch()
# fitting the model
model <- fit(model, dataset$serie)
detection <- detect(model, dataset$serie)
# filtering detected events
print(detection[(detection$event),])