Compare various models or algorithms for a given changepoint set

Usage

compare_models(x, ...)

compare_algorithms(x, ...)

Arguments

x: A tidycpt object
...: currently ignored

Value

A tibble::tbl_df

Details

A tidycpt object has a set of changepoints returned by the algorithm that segmented the time series. That changepoint set was obtained using a specific model. Treating this changepoint set as fixed, the compare_models() function fits several common changepoint models to the time series and changepoint set, and returns the results of glance(). Comparing the fits of various models could lead to improved understanding.

Alternatively, compare_algorithms() runs several fast changepoint detection algorithms on the original time series, and consolidates the results.

Examples


# Segment a times series using PELT
x <- segment(CET, method = "pelt")

# Compare models
compare_models(x)
#> # A tibble: 8 × 12
#>   pkg     version algorithm params num_cpts  rmse logLik   AIC   BIC  MBIC   MDL
#>   <chr>   <pckg_> <chr>     <list>    <int> <dbl>  <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 tidych… 0.0.1   nhpp      <dbl>         5 0.579  -297.  630.  700.  664.  692.
#> 2 tidych… 0.0.1   splinesh… <dbl>         5 0.553  -299.  646.  739.  668.  713.
#> 3 tidych… 0.0.1   trendshi… <dbl>         5 0.565  -306.  650.  724.  682.  716.
#> 4 tidych… 0.0.1   meanshif… <dbl>         5 0.569  -309.  644.  694.  688.  704.
#> 5 tidych… 0.0.1   trendshi… <dbl>         5 0.574  -312.  661.  731.  695.  723.
#> 6 tidych… 0.0.1   meanvar   <NULL>        5 0.579  -316.  666.  732.  702.  724.
#> 7 tidych… 0.0.1   meanshif… <dbl>         5 0.579  -316.  656.  703.  702.  713.
#> 8 tidych… 0.0.1   meanvar   <NULL>        5 0.579  -316.  666.  732.  702.  724.
#> # ℹ 1 more variable: BMDL <dbl>

# Compare algorithms
compare_algorithms(x)
#> Seeding initial population with probability: 0.0162752602536624
#> # A tibble: 6 × 8
#>   pkg      version algorithm seg_params model_name criteria fitness elapsed_time
#>   <chr>    <pckg_> <chr>     <list>     <chr>      <chr>      <dbl> <drtn>      
#> 1 tidycha… 0.0.1   manual    <list [0]> meanshift… BIC         759. 0.003 secs  
#> 2 changep… 2.2.4   PELT      <list [1]> meanvar    MBIC       -Inf  0.009 secs  
#> 3 changep… 2.2.4   PELT      <list [1]> meanvar    MBIC       -Inf  0.010 secs  
#> 4 wbs      1.4     Wild Bin… <list [1]> meanshift… MBIC          0  0.023 secs  
#> 5 GA       3.2.4   Genetic   <list [1]> meanshift… BIC         686. 0.109 secs  
#> 6 changep… 2.2.4   BinSeg    <list [1]> meanvar    MBIC        644. 0.146 secs