Last updated: 2018-10-23

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    Rmd 222fa03 stephens999 2018-10-23 workflowr::wflow_publish(“analysis/pelt.Rmd”)

Introduction

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.

Session information

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

This reproducible R Markdown analysis was created with workflowr 1.1.1