Mean-change segmentation (PELT)

Exact minimisation of eq (3) of Killick et al. (2012) with the Normal change-in-mean cost, i.e. morie_pelt with cost = "mean".

Usage

morie_chgseg(y, penalty = NULL)

Arguments

y

Numeric series.

penalty

Penalty per changepoint; NULL (default) uses the BIC value log(n).

Value

The list returned by morie_pelt, with method naming the segmentation.

References

Killick, R., Fearnhead, P. and Eckley, I. A. (2012). Optimal detection of changepoints with a linear computational cost. Journal of the American Statistical Association, 107(500), 1590-1598.

Examples

V <- c(1, 2, 3, 4, 5, 6, 7, 8)
morie_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)"
#>