cv.detect.LpS {VARDetect} | R Documentation |
Single change point detection for low-rank plus sparse model with cross-validation
Description
single change point detection with cross-validation
Usage
cv.detect.LpS(
data,
lambda.1.seq = NULL,
mu.1.seq = NULL,
alpha_L = 0.25,
skip = 50,
nfold = 5
)
Arguments
data |
a n by p datatset matrix |
lambda.1.seq |
a numeric vector, the sequence of tuning parameter for sparse component for the left segment |
mu.1.seq |
a numeric vector, the sequence of tuning parameter for low rank component for the left segment |
alpha_L |
a numeric value, indicates the constraint space of low rank component |
skip |
a positive integer, indicates the number of time points should be skipped close to the boundary |
nfold |
a positive integer, the number of folds for cross validation |
Value
A list object, including
- cp
Estimated change point
- 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