Hi, all,
I'd like to find one or more changepoints in a dataset
eg
for data like
0.9 1 0.8 0.8 0.85 0.3 0.9 0.9 0.9 1.1
0.3 is unlikely a changepoint
but for data like
0.9 1 0.8 0.8 0.85 0.3 0.2 0.2 0.1 0.2 0.3
0.3 is a change point
I am wondering is there any function can do changepoint analysis?
Ying Fan
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> > Hi, all, > I'd like to find one or more changepoints in a dataset > eg > for data like > 0.9 1 0.8 0.8 0.85 0.3 0.9 0.9 0.9 1.1 > > 0.3 is unlikely a changepoint > > but for data like > 0.9 1 0.8 0.8 0.85 0.3 0.2 0.2 0.1 0.2 0.3 > 0.3 is a change point > > I am wondering is there any function can do changepoint analysis?Two possible approaches are: 1. use a two-state hidden Markov model (for example, using the function hidden in my repeated library) or 2. write a nonlinear regression function with the changepoint as a parameter (using virtually any of the functions in any of my libraries because almost all handle nonlinear regression) but, because of the discontinuity, it is best to iterate through a series of possible values of the changepoint and choose the best log likelihoods. libraries at www.luc.ac.be/~jlindsey/rcode.html Jim> > > Ying Fan > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- > r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html > Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch > _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._ >-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
See the strucchange package for testing problem. The next version of this package is going to include estimation of changepoints best, vito ----- Original Message ----- From: <yiping.fan at syngenta.com> To: <r-help at stat.math.ethz.ch> Sent: Wednesday, September 11, 2002 8:28 PM Subject: [R] changepoint analysis> Hi, all, > I'd like to find one or more changepoints in a dataset > eg > for data like > 0.9 1 0.8 0.8 0.85 0.3 0.9 0.9 0.9 1.1 > > 0.3 is unlikely a changepoint > > but for data like > 0.9 1 0.8 0.8 0.85 0.3 0.2 0.2 0.1 0.2 0.3 > 0.3 is a change point > > I am wondering is there any function can do changepoint analysis? > > > Ying Fan > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-> r-help mailing list -- Readhttp://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html> Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch >_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._. _._ -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._