Penalised mean-change segmentation via PELT

The eq (3) optimal-partitioning objective of Killick, Fearnhead and Eckley (2012) solved exactly by PELT (their Algorithm 2) with the Normal change-in-mean cost. Thin specialisation of Pelt.

Usage

Chgseg(y, penalty = NULL)

Arguments

y: Numeric series.
penalty: Penalty beta; default log(n).

Value

As Pelt.

References

Killick, R., Fearnhead, P. and Eckley, I. A. (2012), Journal of the American Statistical Association 107(500), 1590-1598 (arXiv:1101.1438), eq 3, Algorithm 2.

Examples

V <- c(1, 2, 3, 4, 5, 6, 7, 8)
Chgseg(V)
#> $changepoints
#> [1] 2 4 6
#> 
#> $n_changepoints
#> [1] 3
#> 
#> $objective
#> [1] 8.238325
#> 
#> $penalty
#> [1] 2.079442
#> 
#> $segment_means
#> [1] 1.5 3.5 5.5 7.5
#> 
#> $estimate
#> [1] 2 4 6
#> 
#> $n
#> [1] 8
#> 
#> $method
#> [1] "PELT mean-change segmentation (Killick et al. 2012, eq 3)"
#>