Last updated: 2018-10-23
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File | Version | Author | Date | Message |
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Rmd | 222fa03 | stephens999 | 2018-10-23 | workflowr::wflow_publish(“analysis/pelt.Rmd”) |
The idea here is to check into why the default method for cpt.mean
function did not perfom well on some examples.
library(changepoint)
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Successfully loaded changepoint package version 2.2.2
NOTE: Predefined penalty values changed in version 2.2. Previous penalty values with a postfix 1 i.e. SIC1 are now without i.e. SIC and previous penalties without a postfix i.e. SIC are now with a postfix 0 i.e. SIC0. See NEWS and help files for further details.
set.seed(51)
true_mean = rep(c(-0.2,0.1,1,-0.5,0.2,-0.5,0.1,-0.2),c(137,87,17,49,29,52,87,42))
genomdat = list(x = rnorm(500, sd=0.2) + true_mean, true_mean=true_mean)
The cpt.mean
default does not find any changepoints:
genomdat.cp = cpt.mean(genomdat$x,method="PELT")
plot(genomdat.cp)
Interestingly if we just multiply the data by 10 we find many changepoints.
genomdat.cp = cpt.mean(10*genomdat$x,method="PELT")
plot(genomdat.cp)
And if we multiply by 100 we find many, many changepoints
genomdat.cp = cpt.mean(100*genomdat$x,method="PELT")
plot(genomdat.cp)
I suspect that the cost function may implicitly assume residual variance is 1; I opened an issue on the checkpoint
github page.
sessionInfo()
R version 3.5.1 (2018-07-02)
Platform: x86_64-apple-darwin15.6.0 (64-bit)
Running under: OS X El Capitan 10.11.6
Matrix products: default
BLAS: /Library/Frameworks/R.framework/Versions/3.5/Resources/lib/libRblas.0.dylib
LAPACK: /Library/Frameworks/R.framework/Versions/3.5/Resources/lib/libRlapack.dylib
locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] changepoint_2.2.2 zoo_1.8-4
loaded via a namespace (and not attached):
[1] workflowr_1.1.1 Rcpp_0.12.19 lattice_0.20-35
[4] digest_0.6.18 rprojroot_1.3-2 R.methodsS3_1.7.1
[7] grid_3.5.1 backports_1.1.2 magrittr_1.5
[10] git2r_0.23.0 evaluate_0.12 stringi_1.2.4
[13] whisker_0.3-2 R.oo_1.22.0 R.utils_2.7.0
[16] rmarkdown_1.10 tools_3.5.1 stringr_1.3.1
[19] yaml_2.2.0 compiler_3.5.1 htmltools_0.3.6
[22] knitr_1.20
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