# Single changepoint estimation Estimate the location of one changepoint in a multivariate time series. It uses the function `sparse.svd` to estimate the best projection direction, then using univariate CUSUM statistics of the projected time series to estimate the changepoint location. ```r locate.change( x, lambda, schatten = 2, sample.splitting = FALSE, standardize.series = FALSE, view.cusum = FALSE ) ``` ## Arguments - `x`: A (p x n) data matrix of multivariate time series, each column represents a data point - `lambda`: Regularisation parameter. If no value is supplied, the dafault value is chosen to be sqrt(log(log(n)*p/2)) for p and n number of rows and columns of the data matrix x respectively. - `schatten`: The Schatten norm constraint to use in the `sparse.svd` function. Default is schatten = 2, i.e. a Frobenius norm constraint. - `sample.splitting`: Whether the changepoint should be estimated via sample splitting. The theoretical result is proven only for the sample splitted version of the algorithm. However, the default setting in practice is without sample splitting. - `standardize.series`: Whether the given time series should be standardised before estimating the projection direction. Default is FALSE, i.e. the input series is assume to have variance 1 in each coordinate. - `view.cusum`: Whether to show a plot of the projected CUSUM series ## Returns A list of two items: * changepoint - A single integer value estimate of the changepoint location is returned. If the estimated changepoint is z, it means that the multivariate time series is piecewise constant up to z and from z+1 onwards. * cusum - The maximum absolute CUSUM statistic of the projected univariate time series associated with the estimated changepoint. * vector.proj - the vector of projection, which is proportional to an estimate of the vector of change. ## Examples ```r n <- 2000; p <- 1000; k <- 32; z <- 400; vartheta <- 0.12; sigma <- 1; shape <- 3 noise <- 0; corr <- 0 obj <- single.change(n,p,k,z,vartheta,sigma,shape,noise,corr) x <- obj$x locate.change(x) ``` ## References Wang, T., Samworth, R. J. (2016) High-dimensional changepoint estimation via sparse projection. Arxiv preprint: arxiv1606.06246.

locate.change function