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BayesChange provides C++ functions to perform Bayesian
change points analysis.
To install BayesChange the package devtools
is needed.
install.packages("devtools")Now BayesChange can be installed through the GitHub repository
of the package:
devtools::install_github("lucadanese/BayesChange")The package contains two main functions:
detect_cp change points detection on time series and
epidemic diffusions.clust_cp clustering of time series or epidemic
diffusions with common change points.Additional methods and functions are included:
print() and summary() return information
about the algorithm.posterior_estimate() estimates the change points or the
final partition of the data.plot() provides a graphical representation of the
results.sim_epi_data() generates an arbitrary number of
simulated survival functions.library(BayesChange)
## Univariate time series
data_vec <- as.numeric(c(rnorm(50,0,0.1), rnorm(50,1,0.25)))
out <- detect_cp(data = data_vec, n_iterations = 2500, n_burnin = 500,
params = list(a = 1, b = 1, c = 0.1), kernel = "ts")
print(out)
summary(out)
posterior_estimate(out)
plot(out)
## Multivariate time series
data_mat <- matrix(NA, nrow = 3, ncol = 100)
data_mat[1,] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_mat[2,] <- as.numeric(c(rnorm(50,0,0.125), rnorm(50,1,0.225)))
data_mat[3,] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
out <- detect_cp(data = data_mat, n_iterations = 2500, n_burnin = 500,
params = list(m_0 = rep(0,3), k_0 = 0.25, nu_0 = 4,
S_0 = diag(1,3,3)), kernel = "ts")
print(out)
summary(out)
posterior_estimate(out)
plot(out)
## Epidemic diffusions
data_mat <- matrix(NA, nrow = 1, ncol = 100)
betas <- c(rep(0.45, 25),rep(0.14,75))
inf_times <- sim_epi_data(10000, 10, 100, betas, 1/8)
inf_times_vec <- rep(0,100)
names(inf_times_vec) <- as.character(1:100)
for(j in 1:100){
if(as.character(j) %in% names(table(floor(inf_times)))){
inf_times_vec[j] = table(floor(inf_times))[which(names(table(floor(inf_times))) == j)]
}
}
data_mat[1,] <- inf_times_vec
out <- detect_cp(data = data_mat, n_iterations = 500, n_burnin = 100,
params = list(M = 250, xi = 1/8, a0 = 40, b0 = 10), kernel = "epi")
print(out)
summary(out)
posterior_estimate(out)
plot(out)
## Univariate time series
data_mat <- matrix(NA, nrow = 5, ncol = 100)
data_mat[1,] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_mat[2,] <- as.numeric(c(rnorm(50,0,0.125), rnorm(50,1,0.225)))
data_mat[3,] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_mat[4,] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_mat[5,] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
out <- clust_cp(data = data_mat, n_iterations = 5000, n_burnin = 1000,
L = 1, params = list(phi = 0.5), B = 1000, kernel = "ts")
print(out)
summary(out)
posterior_estimate(out)
plot(out)
## Multivariate time series
data_array <- array(data = NA, dim = c(3,100,5))
data_array[1,,1] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[2,,1] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[3,,1] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[1,,2] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[2,,2] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[3,,2] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[1,,3] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_array[2,,3] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_array[3,,3] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_array[1,,4] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_array[2,,4] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_array[3,,4] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_array[1,,5] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
data_array[2,,5] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
data_array[3,,5] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
out <- clust_cp(data = data_array, n_iterations = 3000, n_burnin = 1000,
params = list(phi = 0.5, k_0 = 0.25,
nu_0 = 5, S_0 = diag(0.1,3,3),
m_0 = rep(0,3)), B = 1000, kernel = "ts")
print(out)
summary(out)
posterior_estimate(out)
plot(out)
## Epidemic diffusions
data_mat <- matrix(NA, nrow = 5, ncol = 50)
betas <- list(c(rep(0.45, 25),rep(0.14,25)),
c(rep(0.55, 25),rep(0.11,25)),
c(rep(0.50, 25),rep(0.12,25)),
c(rep(0.52, 10),rep(0.15,40)),
c(rep(0.53, 10),rep(0.13,40)))
inf_times <- list()
for(i in 1:5){
inf_times[[i]] <- sim_epi_data(10000, 10, 50, betas[[i]], 1/8)
vec <- rep(0,50)
names(vec) <- as.character(1:50)
for(j in 1:50){
if(as.character(j) %in% names(table(floor(inf_times[[i]])))){
vec[j] = table(floor(inf_times[[i]]))[which(names(table(floor(inf_times[[i]]))) == j)]
}
}
data_mat[i,] <- vec
}
out <- clust_cp(data = data_mat, n_iterations = 100, n_burnin = 10,
params = list(M = 100, xi = 1/8), B = 1000, kernel = "epi")
print(out)
summary(out)
posterior_estimate(out)
plot(out)These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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