[R] problem (un)detecting changepoints

[Enrico R. Crema]

Hi Martyn,

Thanks! Should have checked the doc more thoroughly !
Enrico

On 27 Jan 2014, at 16:35, Martyn Byng <Martyn.Byng at nag.co.uk> wrote:

> Hi,
> 
> I don't think you are doing anything wrong, the routine is doing what it
> is documented to do, from ?cpt.mean
> 
>    cpt: Vector containing the changepoint locations for the penalty
> supplied.  This always ends with n.
> 
> i.e. as your series is of length 50, the last value returned in cpts
> will always be 50.
> 
> Martyn
> 
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
> On Behalf Of Enrico R. Crema
> Sent: 27 January 2014 13:01
> To: R help
> Subject: [R] problem (un)detecting changepoints
> 
> Dear List,
> 
> I am using the cpt.mean() function in the "changepoint" package to
> detect change-points in my data and noticed that when there are no
> visible changes, the function returns the last point as the point of
> change. The following script can illustrate this:
> 
> table(unlist(replicate(500,cpt.mean(rnorm(50),method="PELT")@cpts)))
> 
> the result will return a uniform distribution from 1 to 49 (with ca 20
> cpts located for each), and then 500 cases where the cpts is located on
> the last vector. Clearly, cpt.mean returns the index of the last vector
> value (here 50) for change in the time-series. I wonder if I am doing
> something wrong here, but I think the function should return a NA... 
> 
> Many thanks in advance,
> Enrico 
> 
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