A function to control the number of change-points estimated from the WBS algorithm and to reduce the risk of over-segmentation.
post.processing(z,br,del=-1,epp=-1,C_i=NULL,scales=NULL)The wavelet periodogram matrix.
The change-points to be post-processed.
The minimum allowed size of a segment.
A minimum adjustment for the bias present in \(E^{(i)}_{t,T}\).
The CUSUM threshold.
Which wavelet periodogram scales to be used.
K. Korkas and P. Fryzlewicz (2017), Multiple change-point detection for non-stationary time series using Wild Binary Segmentation. Statistica Sinica, 27, 287-311. (http://stats.lse.ac.uk/fryzlewicz/WBS_LSW/WBS_LSW.pdf)