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]