Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Robustness to outliers #15

Open
Neverstop7 opened this issue Jun 12, 2024 · 0 comments
Open

Robustness to outliers #15

Neverstop7 opened this issue Jun 12, 2024 · 0 comments

Comments

@Neverstop7
Copy link

Neverstop7 commented Jun 12, 2024

Hello!
This is not a real issue but just a suggestion.
I have noticided that EnvCpt is not robust to outliers (see code below). It might be useful to have an additional argument in envcpt() to choose if to perform a robust changepoint analysis or not (See 'robust' argument in the stl() function of the stats R package).
Thank you!

without outlier
library(EnvCpt)
y = c(rnorm(50,100,sd = 5),rnorm(50,50,sd = 5))
out = envcpt(y)
which.min(BIC(out))
plot(out$meancpt,type="p")

with outlier
y[20]=200
out = envcpt(y)
which.min(BIC(out))
plot(out$meancpt,type="p")

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

1 participant