backward.selection {VARDetect} | R Documentation |
Backward elimination algorithm
backward.selection(data, pts, lambda, mu, alpha_L = 0.25)
data |
A n by p dataset matrix |
pts |
A numeric vector, which includes all candidate change points obtained from the first step |
lambda |
Tuning parameter for sparse component |
mu |
Tuning parameter for low-rank component |
alpha_L |
Constraint space for low rank component, default is 0.25 |
A list object, containing
Value of objective function
Current value of objective function