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Segment a time series using the PELT algorithm

segment_pelt.Rd

Segmenting functions for the PELT algorithm

Usage

segment_pelt(x, model_fn = fit_meanvar, ...)

Arguments

x

A time series

model_fn

A character or name coercible into a fun_cpt function. See, for example, fit_meanshift_norm(). The default is fit_meanvar().

...

arguments passed to changepoint::cpt.meanvar() or changepoint::cpt.mean()

Value

A cpt object returned by changepoint::cpt.meanvar() or changepoint::cpt.mean()

Details

This function wraps either changepoint::cpt.meanvar() or changepoint::cpt.mean().

Examples

# Segment a time series using PELT
res <- segment_pelt(DataCPSim)
res
#> Class 'cpt' : Changepoint Object
#>        ~~   : S4 class containing 12 slots with names
#>               cpttype date version data.set method test.stat pen.type pen.value minseglen cpts ncpts.max param.est 
#> 
#> Created on  : Wed Apr 24 21:56:29 2024 
#> 
#> summary(.)  :
#> ----------
#> Created Using changepoint version 2.2.4 
#> Changepoint type      : Change in mean and variance 
#> Method of analysis    : PELT 
#> Test Statistic  : Normal 
#> Type of penalty       : MBIC with value, 27.99769 
#> Minimum Segment Length : 2 
#> Maximum no. of cpts   : Inf 
#> Changepoint Locations : 547 822 972 
str(res)
#> Formal class 'cpt' [package "changepoint"] with 12 slots
#>   ..@ data.set : Time-Series [1:1096] from 1 to 1096: 35.5 29 35.6 33 29.5 ...
#>   ..@ cpttype  : chr "mean and variance"
#>   ..@ method   : chr "PELT"
#>   ..@ test.stat: chr "Normal"
#>   ..@ pen.type : chr "MBIC"
#>   ..@ pen.value: num 28
#>   ..@ minseglen: num 2
#>   ..@ cpts     : int [1:4] 547 822 972 1096
#>   ..@ ncpts.max: num Inf
#>   ..@ param.est:List of 2
#>   .. ..$ mean    : num [1:4] 35.3 58.2 96.8 156.5
#>   .. ..$ variance: num [1:4] 127 371 921 2406
#>   ..@ date     : chr "Wed Apr 24 21:56:29 2024"
#>   ..@ version  : chr "2.2.4"

# Segment as time series while specifying a penalty function
segment_pelt(DataCPSim, penalty = "BIC")
#> Class 'cpt' : Changepoint Object
#>        ~~   : S4 class containing 12 slots with names
#>               cpttype date version data.set method test.stat pen.type pen.value minseglen cpts ncpts.max param.est 
#> 
#> Created on  : Wed Apr 24 21:56:29 2024 
#> 
#> summary(.)  :
#> ----------
#> Created Using changepoint version 2.2.4 
#> Changepoint type      : Change in mean and variance 
#> Method of analysis    : PELT 
#> Test Statistic  : Normal 
#> Type of penalty       : BIC with value, 20.99827 
#> Minimum Segment Length : 2 
#> Maximum no. of cpts   : Inf 
#> Changepoint Locations : 547 822 972 

# Segment a time series while specifying a meanshift normal model
segment_pelt(DataCPSim, model_fn = fit_meanshift_norm, penalty = "BIC")
#> Class 'cpt' : Changepoint Object
#>        ~~   : S4 class containing 12 slots with names
#>               cpttype date version data.set method test.stat pen.type pen.value minseglen cpts ncpts.max param.est 
#> 
#> Created on  : Wed Apr 24 21:56:29 2024 
#> 
#> summary(.)  :
#> ----------
#> Created Using changepoint version 2.2.4 
#> Changepoint type      : Change in mean 
#> Method of analysis    : PELT 
#> Test Statistic  : Normal 
#> Type of penalty       : BIC with value, 13.99884 
#> Minimum Segment Length : 1 
#> Maximum no. of cpts   : Inf 
#> Number of changepoints: 873