BIC_threshold

BIC threshold for final parameter estimation

A four step change point detection method that can detect break points with the presence of missing values proposed by Liu and Safikhani (2023) <https://drive.google.com/file/d/1a8sV3RJ8VofLWikTDTQ7W4XJ76cEj4Fg/view?usp=drive_link>.

Yanxi Liu

MissCP

Change Point Detection with Missing Values

Abolfazl Safikhani

BIC_threshold function

<dl><dt>beta.final</dt>
<dd>estimated parameter coefficient matrices</dd>
<dt>k</dt>
<dd>dimensions of parameter coefficient matrices</dd>
<dt>m.hat</dt>
<dd>number of estimated change points</dd>
<dt>brk</dt>
<dd>vector of estimated change points</dd>
<dt>data_y</dt>
<dd>input data matrix (response), with each column representing the time series component</dd>
<dt>data_x</dt>
<dd>input data matrix (predictor), with each column 1</dd>
<dt>b_n</dt>
<dd>the block size</dd>
<dt>nlam</dt>
<dd>number of hyperparameters for grid search</dd></dl>

Arguments

BIC_threshold — BIC_threshold

<dl>

<dt>beta.final</dt>
<dd>estimated parameter coefficient matrices</dd>


<dt>k</dt>
<dd>dimensions of parameter coefficient matrices</dd>


<dt>m.hat</dt>
<dd>number of estimated change points</dd>


<dt>brk</dt>
<dd>vector of estimated change points</dd>


<dt>data_y</dt>
<dd>input data matrix (response), with each column representing the time series component</dd>


<dt>data_x</dt>
<dd>input data matrix (predictor), with each column 1</dd>


<dt>b_n</dt>
<dd>the block size</dd>


<dt>nlam</dt>
<dd>number of hyperparameters for grid search</dd>

</dl>

BIC_threshold: BIC_threshold

Description

Usage

Value

Arguments