detect.LpS {VARDetect} | R Documentation |
Single change point detection for low-rank plus sparse model structure
Description
Single change point detection for low-rank plus sparse model using minimizing SSE method.
Usage
detect.LpS(data, lambda, mu, alpha_L, skip = 50)
Arguments
data |
A n by p dataset, n is the number of observations, p is the number of variables |
lambda |
A 2-d vector recording tuning parameters for sparse components left/right |
mu |
A 2-d vector recording tuning parameters for low rank components left/right |
alpha_L |
A numeric value, a positive number indicating the constraint space for low rank matrix |
skip |
The number of observations at the boundaries we should skip |
Value
A list object, which includes the followings:
- cp
A vector recording all estimated change points
- S_hat1
Estimated sparse component for the left-handed side
- S_hat2
Estimated sparse component for the right-handed side
- L_hat1
Estimated low rank component for the left-handed side
- L_hat2
Estimated low rank component for the right-handed side
- sse
The sum of squared errors for all passed time points