ecp wrapper

The ecp package provides a non-parametric way to detect changepoints. Unlike the changepoint package, it does not assume raw data to have any formal distribution. This wrapper function wraps two functions from the ecp package, i.e., e.divisive() and e.agglo(). Users can use either function by switching the algorithm argument. Before using the wrapper function, seed should be set for the sake of reproducibility.

Usage

ecp_wrapper(data, algorithm = "divisive", min_size = 2, seed = NULL, ...)

Arguments

data

A numeric vector (for univariate) or matrix/data.frame (for multivariate).

algorithm

Either divisive or agglo. divisive is the default.

min_size

Minimum number of observations between change points. By default is 2. This argument is only applied when algorithm = "divisive".

seed

Optional. A seed for reproducibility of the stochastic permutation test.

...

Extra arguments to pass on either from e.divisive() or e.agglo().

Value

A tibble includes which point(s) is/are the changepoint along with raw changepoint value corresponding to that changepoint. Changepoint locations follow the ecp package convention: the first index of the right segment. When no changepoint is found, an empty tibble is returned (0 rows). The upstream fit is not retained — and $fit is NULL on a ggcpt from cpt_detect(method = "ecp") — because ecp::e.agglo()'s cluster-progression matrix is quadratic in the series length; call the ecp functions directly if you need their full output.

References

James NA, Matteson DS (2014). “ecp: An R package for nonparametric multiple change point analysis of multivariate data.” Journal of Statistical Software, 62(7), 1–25. doi:10.18637/jss.v062.i07 .

See also

Other changepoint engines: bcp_wrapper(), beast_wrapper(), bfast_wrapper(), binsegrcpp_wrapper(), bocpd_wrapper(), cpm_wrapper(), cpop_wrapper(), cpt_wrapper(), decafs_wrapper(), envcpt_wrapper(), esac_wrapper(), fabisearch_wrapper(), fastcpd_wrapper(), fcov_wrapper(), fmean_wrapper(), fpop_wrapper(), geomcp_wrapper(), hdcov_wrapper(), hdreg_wrapper(), idetect_wrapper(), inspect_wrapper(), kcp_wrapper(), kwc_wrapper(), mcp_wrapper(), mosum_wrapper(), network_wrapper(), not_wrapper(), npmojo_wrapper(), nsp_wrapper(), ocd_wrapper(), pilliat_wrapper(), segmented_wrapper(), smuce_wrapper(), sn_wrapper(), strucchange_wrapper(), taylor_wrapper(), tguh_wrapper(), trend_wrapper(), var_wrapper(), wbs2_wrapper(), wbs_wrapper(), wbsts_wrapper()

Examples

set.seed(2022)
ecp_wrapper(c(rnorm(100,0,1),rnorm(100,0,10)))
#> # A tibble: 1 × 2
#>      cp cp_value
#>   <dbl>    <dbl>
#> 1   102    -12.2
ecp_wrapper(c(rnorm(100,0,1),rnorm(100,10,1)))
#> # A tibble: 1 × 2
#>      cp cp_value
#>   <dbl>    <dbl>
#> 1   101     9.07