backward.selection {VARDetect}R Documentation

Backward selection function for the second screening step

Description

Backward elimination algorithm

Usage

backward.selection(data, pts, lambda, mu, alpha_L = 0.25)

Arguments

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

Value

A list object, containing

L.n

Value of objective function

L.n.current

Current value of objective function


[Package VARDetect version 0.1.8 Index]