break.var.lps {VARDetect}R Documentation

Auxiliary function to calculate loss at the estimated change points

Description

Function to calculate loss function at the estimated change points

Usage

break.var.lps(data, pts, lambda, mu, alpha_L = 0.25)

Arguments

data

A n by p dataset, n is the number of observations, p is the number of variables

pts

a vector of change points

lambda

tuning parameter for sparse component

mu

tuning parameter for low-rank component

alpha_L

a positive number, indicating the value of constraint space of low rank component, default is 0.25

Value

A list object, including

L.n

Value of objective function


[Package VARDetect version 0.1.8 Index]