first.step.blocks.group {VARDetect} | R Documentation |
block fused sparse group lasso step (first step).
Description
Perform the block fused lasso to detect candidate break points.
Usage
first.step.blocks.group(
data.temp,
lambda.1.cv,
lambda.2.cv,
q,
max.iteration = max.iteration,
tol = tol,
cv.index,
blocks,
group.case = "columnwise",
group.index
)
Arguments
data.temp |
input data matrix, with each column representing the time series component |
lambda.1.cv |
tuning parmaeter lambda_1 for fused lasso |
lambda.2.cv |
tuning parmaeter lambda_2 for fused lasso |
q |
the AR order |
max.iteration |
max number of iteration for the fused lasso |
tol |
tolerance for the fused lasso |
cv.index |
the index of time points for cross-validation |
blocks |
the blocks |
group.case |
group sparse pattern: column, row. |
group.index |
group index for group sparse case |
Value
A list object, which contains the followings
- brk.points
a set of selected break point after the first block fused lasso step
- cv
the cross validation values for tuning parmeter selection
- cv1.final
the selected lambda_1
- cv2.final
the selected lambda_2
[Package VARDetect version 0.1.8 Index]