break.var.local.new {VARDetect} | R Documentation |
Compute local loss function.
Description
Compute local loss function.
Usage
break.var.local.new(
method = "sparse",
data,
eta,
q,
max.iteration = 1000,
tol = 10^(-4),
pts,
an,
group.case = "columnwise",
group.index = NULL
)
Arguments
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 |
group.case |
group sparse pattern: columnwise, rowwise. |
group.index |
group index for group sparse case |
Value
A list oject, which contains the followings
- L.n.1
A vector of loss functions that include some break point
- L.n.2
A vector of loss functions that exclude some break point
[Package VARDetect version 0.1.8 Index]