rank_one {changepointsHD} | R Documentation |
This is a method for estimating a single-changepoint
which takes advantage of the special structure
of the Gaussian graphical model. It cannot take
arbitrary black-box models like simulated_annealing
or brute_force
. However, it can still be run within
binary_segmentation
.
rank_one(data, theta_init, buff = 10L, regularizer = 1, tau = -1L, max_iter = 25L, update_w = 1, update_change = 0.9, mapping_iter = 1L, tol = 1e-05)
data |
N x P Matrix corresponding to the raw data. |
theta_init |
Initial value for theta estimate. |
buff |
Distance to maintain from edge of sample. |
regularizer |
Regularizing constant, lambda. |
tau |
Initial Estimate for change-point. |
max_iter |
Maximum number of rank-one updates to be run. |
update_w |
Step size for prox-gradient. |
update_change |
Proportion of |
mapping_iter |
Number of mapping iterations. |
tol |
Tolerance at which the algorithm stops running. |
List containing the estimated change-point and theta values.
Leland Bybee <lelandb@umich.edu>