EnvCpt (version 1.1.2)

EnvCpt-package: Detection of Structural Changes in Climate and Environment Time Series

Description

Tools for automatic model selection and diagnostics for Climate and Environmental data. In particular the envcpt() function does automatic model selection between a variety of trend, changepoint and autocorrelation models. The envcpt() function should be your first port of call.

Details

Package:	EnvCpt
Type:	Package
Version:	1.1.2
Date:	2020-06-21
License:	GPL
LazyLoad:	yes

References

EnvCpt Algorithm: Beaulieu, C, Killick, R (2018+) Distinguishing trends and shifts from memory in climate data.

PELT Algorithm: Killick R, Fearnhead P, Eckley IA (2012) Optimal detection of changepoints with a linear computational cost, JASA 107(500), 1590--1598

See Also

envcpt,AIC.envcpt,plot.envcpt

Examples

# NOT RUN {
set.seed(1)
x=c(rnorm(100,0,1),rnorm(100,5,1))
out=envcpt(x) # run all models with default values
out[[1]] # first row is twice the negative log-likelihood for each model
         # second row is the number of parameters
AIC(out) # returns AIC for each model.
which.min(AIC(out)) # gives meancpt (model 2) as the best model fit.
out$meancpt # gives the model fit for the meancpt model.
AICweights(out) # gives the AIC weights for each model
BIC(out) # returns the BIC for each model.
which.min(BIC(out)) # gives meancpt (model 2) as the best model fit too.
plot(out,type='fit') # plots the fits
plot(out,type="aic") # plots the aic values
plot(out,type="bic") # plots the bic values

set.seed(10)
x=c(0.01*(1:100),1.5-0.02*((101:250)-101))+rnorm(250,0,0.2)
out=envcpt(x,minseglen=10) # run all models with a minimum of 10 observations between changes
AIC(out) # returns the AIC for each model
which.min(AIC(out)) # gives trendcpt (model 8) as the best model fit.
out$trendcpt # gives the model fit for the trendcpt model.
AICweights(out) # gives the AIC weights for each model
BIC(out) # returns the BIC for each model.
which.min(BIC(out)) # gives trendcpt (model 8) as the best model fit too.
plot(out,type='fit') # plots the fits
plot(out,type="aic") # plots the aic values
plot(out,type="bic") # plots the bic values

set.seed(100)
x=arima.sim(model=list(ar=c(0.7,0.2)),n=500)+0.01*(1:500)
out=envcpt(x,models=c(3:6,9:12)) # runs a subset of models (those with AR components) 
AIC(out) # returns the AIC for each model
which.min(AIC(out)) # gives trendar2 (model 10) as the best model fit.
out$trendar2 # gives the model fit for the trendar2 model. Notice that the trend is tiny but does 
# produce a significantly better fit than the meanar2 model.
AICweights(out) # gives the AIC weights for each model
BIC(out) # returns the BIC for each model.
which.min(BIC(out)) # best fit is trendar2 (model 10) again.
plot(out,type='fit') # plots the fits
plot(out,type="aic") # plots the aic values
plot(out,type="bic") # plots the bic values
# }