The solution path for the case of piecewise-constant signals
The solution path for the case of piecewise-constant signals
This function starts by overestimating the number of true change-points. After that, following a CUSUM-based approach, it sorts the estimated change-points in a way that the estimate, which is most-likely to be correct appears first, whereas the least likely to be correct, appears last. The routine is typically not called directly by the user; it is employed in pcm_ic. For more information, see References.
sol_path_pcm(x, thr_ic =0.9, points =3)
Arguments
x: A numeric vector containing the data in which you would like to find change-points.
thr_ic: A positive real number with default value equal to 0.9. It is used to define the threshold. The change-points are estimated by thresholding with threshold equal to sigma * thr_ic * sqrt(2 * log(T)), where T is the length of the data sequence x and sigma = mad(diff(x)/sqrt(2)). Because we would like to overestimate the number of true change-points in x, it is suggested to keep thr_ic smaller than 1, which is the default value used as the threshold constant in the function pcm_th.
points: A positive integer with default value equal to 3. It defines the distance between two consecutive end- or start-points of the right- or left-expanding intervals, respectively.
Returns
The solution path for the case of piecewise-constant signals.