ARIMA.BIC.Order {changepointGA} | R Documentation |
Calculating BIC for Multiple changepoint detection with model order selection
Description
The objective function for changepoint search in Autoregressive moving average with model order selection via Bayesian Information Criterion (BIC).
Usage
ARIMA.BIC.Order(chromosome, plen = 2, XMat, Xt)
Arguments
chromosome |
The chromosome consists of the number of changepoints, the order of AR part, the order of MA part, the changepoint locations, and a value of time series length plus 1 (N+1) indicating the end of the chromosome. |
plen |
The number of model order parameters that need to be selected.
If model order selection needs to be performed simultaneously with the
changepoint detection task, |
XMat |
A matrix contains the covariates, but not includes changepoint effects, for time series regression. |
Xt |
The simulated ARMA time series from |
Value
The BIC value of the objective function.
Examples
N = 1000
XMatT = matrix(1, nrow=N, ncol=1)
Xt = ts.sim(beta=0.5, XMat=XMatT, sigma=1, phi=0.5, theta=0.8,
Delta=c(2, -2), CpLoc=c(250, 750), seed=1234)
# one chromosome representation
chromosome = c(2, 1, 1, 250, 750, 1001)
ARIMA.BIC.Order(chromosome, plen=2, XMat=XMatT, Xt=Xt)
[Package changepointGA version 0.1.1 Index]