second.step.local {VARDetect} | R Documentation |
Perform the local screening to "thin out" redundant break points.
second.step.local(
method = "sparse",
data,
eta,
q,
max.iteration = 1000,
tol = 10^(-4),
pts,
an,
phi.est.full = NULL,
blocks = NULL,
use.BIC = FALSE,
group.case = "columnwise",
group.index = NULL
)
method |
method: sparse, group sparse |
data |
input data matrix, with each column representing the time series component |
eta |
tuning parameter eta for lasso |
q |
the AR order |
max.iteration |
max number of iteration for the fused lasso |
tol |
tolerance for the fused lasso |
pts |
the selected break points after the first step |
an |
the neighborhood size a_n |
phi.est.full |
parameter matrix |
blocks |
a vector of blocks |
use.BIC |
use BIC for k-means part |
group.case |
group sparse pattern: columnwise, rowwise. |
group.index |
group index for group sparse case |
A list object, which contains the followings
a set of selected break point after the second local screening step
the selected Omega value