Detecting multiple change points in mean and variance using R's changepoint package
I'm trying to identify change points in daily time series of stock prices using the "changepoint" package. The package contains different methods to detect the change points such as "Binary segmentation", "segmentation neighborhood" and "Pruned Exact Linear Time (PELT)", which is good for robustness checking.
The data I'm using has 4170 entries and starts from 2000-01-03
Prices.d <- ts(EM_indices[, 2], start = c(2000,01,03), freq = 365)
First I tried to use the PELT method to detect change points in the mean with the following code:
> cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT")
The results should indicate the locations of the change points but it has not been reported, here's what I got in returns:
enter image description here
You can see how the changepoints locations is empty, so adjusted the code by adding the arguments of Class and parameter estimates:
Change <- cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT", class=TRUE, param.estimates=TRUE)
The changepoints locations,however, are still not reported in the results, what should I do to solve this problem?
r time-series breakpoints
edited Nov 19 '18 at 7:43
snoram
7,455932
asked Nov 19 '18 at 7:35
AmeerAmeer
134
add a comment |
I'm trying to identify change points in daily time series of stock prices using the "changepoint" package. The package contains different methods to detect the change points such as "Binary segmentation", "segmentation neighborhood" and "Pruned Exact Linear Time (PELT)", which is good for robustness checking.
The data I'm using has 4170 entries and starts from 2000-01-03
Prices.d <- ts(EM_indices[, 2], start = c(2000,01,03), freq = 365)
First I tried to use the PELT method to detect change points in the mean with the following code:
> cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT")
The results should indicate the locations of the change points but it has not been reported, here's what I got in returns:
enter image description here
You can see how the changepoints locations is empty, so adjusted the code by adding the arguments of Class and parameter estimates:
Change <- cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT", class=TRUE, param.estimates=TRUE)
The changepoints locations,however, are still not reported in the results, what should I do to solve this problem?
r time-series breakpoints
edited Nov 19 '18 at 7:43
snoram
7,455932
asked Nov 19 '18 at 7:35
AmeerAmeer
134
what package are you using?
– snoram
Nov 19 '18 at 7:36
@snoram I'm using "changepoints" package
– Ameer
Nov 19 '18 at 7:40
add a comment |
I'm trying to identify change points in daily time series of stock prices using the "changepoint" package. The package contains different methods to detect the change points such as "Binary segmentation", "segmentation neighborhood" and "Pruned Exact Linear Time (PELT)", which is good for robustness checking.
The data I'm using has 4170 entries and starts from 2000-01-03
Prices.d <- ts(EM_indices[, 2], start = c(2000,01,03), freq = 365)
First I tried to use the PELT method to detect change points in the mean with the following code:
> cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT")
The results should indicate the locations of the change points but it has not been reported, here's what I got in returns:
enter image description here
You can see how the changepoints locations is empty, so adjusted the code by adding the arguments of Class and parameter estimates:
Change <- cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT", class=TRUE, param.estimates=TRUE)
The changepoints locations,however, are still not reported in the results, what should I do to solve this problem?
r time-series breakpoints
edited Nov 19 '18 at 7:43
snoram
7,455932
asked Nov 19 '18 at 7:35
AmeerAmeer
134
I'm trying to identify change points in daily time series of stock prices using the "changepoint" package. The package contains different methods to detect the change points such as "Binary segmentation", "segmentation neighborhood" and "Pruned Exact Linear Time (PELT)", which is good for robustness checking.
The data I'm using has 4170 entries and starts from 2000-01-03
Prices.d <- ts(EM_indices[, 2], start = c(2000,01,03), freq = 365)
First I tried to use the PELT method to detect change points in the mean with the following code:
> cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT")
The results should indicate the locations of the change points but it has not been reported, here's what I got in returns:
enter image description here
You can see how the changepoints locations is empty, so adjusted the code by adding the arguments of Class and parameter estimates:
Change <- cpt.mean(Prices.d, pen.value = c(4,1500),penalty = "CROPS",method = "PELT", class=TRUE, param.estimates=TRUE)
The changepoints locations,however, are still not reported in the results, what should I do to solve this problem?
r time-series breakpoints
r time-series breakpoints
edited Nov 19 '18 at 7:43
snoram
7,455932
asked Nov 19 '18 at 7:35
AmeerAmeer
134
edited Nov 19 '18 at 7:43
snoram
7,455932
asked Nov 19 '18 at 7:35
AmeerAmeer
134
edited Nov 19 '18 at 7:43
snoram
7,455932
edited Nov 19 '18 at 7:43
snoram
7,455932
edited Nov 19 '18 at 7:43
snoram
7,455932
7,455932
asked Nov 19 '18 at 7:35
AmeerAmeer
134
asked Nov 19 '18 at 7:35
AmeerAmeer
134
asked Nov 19 '18 at 7:35
AmeerAmeer
134
134
what package are you using?
– snoram
Nov 19 '18 at 7:36
@snoram I'm using "changepoints" package
– Ameer
Nov 19 '18 at 7:40
add a comment |
what package are you using?
– snoram
Nov 19 '18 at 7:36
@snoram I'm using "changepoints" package
– Ameer
Nov 19 '18 at 7:40
what package are you using?
– snoram
Nov 19 '18 at 7:36
what package are you using?
– snoram
Nov 19 '18 at 7:36
@snoram I'm using "changepoints" package
– Ameer
Nov 19 '18 at 7:40
@snoram I'm using "changepoints" package
– Ameer
Nov 19 '18 at 7:40
add a comment |
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what package are you using?
– snoram
Nov 19 '18 at 7:36
@snoram I'm using "changepoints" package
– Ameer
Nov 19 '18 at 7:40