Hello!
It seems that EnvCpt R package uses internally cpt.meanvar() function from the changepoint R package. The function cpt.meanvar() detects both changes in mean and variance. Suppose that I am only interested in changes in mean. How can I use the envcpt() function to ignore changes in variance?
library(EnvCpt)
set.seed(123)
y = c(rnorm(50,100,sd = 5),rnorm(50,100,sd = 50))
plot(y)
out = envcpt(y)
which.min(BIC(out))
plot(out$meancpt,type="p")
It would be nice if envcpt would detect no changepoints since the mean has not changed.
Thank you in advance!
Hello! It seems that EnvCpt R package uses internally cpt.meanvar() function from the changepoint R package. The function cpt.meanvar() detects both changes in mean and variance. Suppose that I am only interested in changes in mean. How can I use the envcpt() function to ignore changes in variance?
library(EnvCpt) set.seed(123) y = c(rnorm(50,100,sd = 5),rnorm(50,100,sd = 50)) plot(y) out = envcpt(y) which.min(BIC(out)) plot(out$meancpt,type="p")
It would be nice if envcpt would detect no changepoints since the mean has not changed. Thank you in advance!