fastcpd_ar
and fastcpd.ar
are
wrapper functions of fastcpd
to find change points in
AR(p) models. The function is similar to fastcpd
except that the data is by default a one-column matrix or univariate vector
and thus a formula is not required here.
Arguments
- data
A numeric vector, a matrix, a data frame or a time series object.
- order
A positive integer or a vector of length three with the last two elements being zeros specifying the order of the AR model.
- ...
Other arguments passed to
fastcpd
, for example,segment_count
. One special argument can be passed here isinclude.mean
, which is a logical value indicating whether the mean should be included in the model. The default value isTRUE
.
Examples
set.seed(1)
n <- 1000
x <- rep(0, n + 3)
for (i in 1:600) {
x[i + 3] <- 0.6 * x[i + 2] - 0.2 * x[i + 1] + 0.1 * x[i] + rnorm(1, 0, 3)
}
for (i in 601:1000) {
x[i + 3] <- 0.3 * x[i + 2] + 0.4 * x[i + 1] + 0.2 * x[i] + rnorm(1, 0, 3)
}
result <- fastcpd.ar(x[3 + seq_len(n)], 3)
summary(result)
#>
#> Call:
#> fastcpd.ar(data = x[3 + seq_len(n)], order = 3)
#>
#> Change points:
#> 626
#>
#> Cost values:
#> 2857.934 1931.978
#>
#> Parameters:
#> segment 1 segment 2
#> 1 0.5483503 0.2368461
#> 2 -0.1850633 0.4035386
#> 3 0.0666261 0.2352056
plot(result)