Change Point Detection in High-Dimensional Linear Regression Models


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Documentation for package ‘LinearDetect’ version 0.1.5

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BIC BIC and HBIC function
BIC.threshold BIC threshold for final parameter estimation
BIC.threshold.ggm BIC threshold for final parameter estimation (GGM)
constant.sim.break Generate the constant model data with break points
ggm.first.step.blocks Threshold block fused lasso step for gaussian graphical model.
ggm.second.step.search Exhaustive search step for gaussian graphical model.
ggm.sim.break Generate the gaussian graphical model data with break points
lambda_warm_up_lm lambda warm up for linear regression model
lm.first.step.blocks Threshold block fused lasso step for linear regression model.
lm.second.step.search Exhaustive search step for linear regression model.
lm.sim.break Generate the linear regression model data with break points
mspe.plot Plot the cross-validation score
pred prediction function
pred.block Prediction function (block)
pred.block.var Prediction function for VAR (block)
pred.var Prediction function for VAR 2
remove.extra.pts helper function for detection check
soft_full soft threshold function
tbfl Threshold block fused lasso (TBFL) algorithm for change point detection
var.first.step.blocks Threshold block fused lasso step for linear regression model.
var.second.step.search Exhaustive search step
var.sim.break Generating non-stationary ARMA data.