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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 five main functions:
detect_cp_uni and detect_cp_multi
perform change points detection on univariate and multivariate time
series data.
clust_cp_uni and clust_cp_multi cluster
univariate and multivariate time series with common change
points.
clust_cp_epi perform clustering of survival
functions with common change points.
Additional functions are included:
sim_epi_data generates an arbitrary number of simulated
survival functions.get_clust_VI returns a point estimate for the
data.library(BayesChange)
# detect_cp_uni
data_vec <- as.numeric(c(rnorm(50,0,0.1), rnorm(50,1,0.25)))
out <- detect_cp_uni(data = data_vec,
n_iterations = 2500,
q = 0.25,
phi = 0.1, a = 1, b = 1, c = 0.1)
get_clust_VI(out$order)
# detect_cp_multi
data_mat <- matrix(NA, nrow = 3, ncol = 100)
data_mat[1,] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_mat[2,] <- as.numeric(c(rnorm(50,0,0.125), rnorm(50,1,0.225)))
data_mat[3,] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
out <- detect_cp_multi(data = data_mat,
n_iterations = 2500,
q = 0.25,k_0 = 0.25, nu_0 = 4, phi_0 = diag(1,3,3), m_0 = rep(0,3),
par_theta_c = 2, par_theta_d = 0.2, prior_var_gamma = 0.1)
get_clust_VI(out$order)
# clust_cp_uni
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_uni(data = data_mat, n_iterations = 5000, B = 1000, L = 1, gamma = 0.5)
get_clust_VI(out$clust[2500:5000,])
# clust_cp_multi
data_array <- array(data = NA, dim = c(3,100,5))
data_array[1,,1] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[2,,1] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[3,,1] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[1,,2] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[2,,2] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[3,,2] <- as.numeric(c(rnorm(50,0,0.100), rnorm(50,1,0.250)))
data_array[1,,3] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_array[2,,3] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_array[3,,3] <- as.numeric(c(rnorm(50,0,0.175), rnorm(50,1,0.280)))
data_array[1,,4] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_array[2,,4] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_array[3,,4] <- as.numeric(c(rnorm(25,0,0.135), rnorm(75,1,0.225)))
data_array[1,,5] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
data_array[2,,5] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
data_array[3,,5] <- as.numeric(c(rnorm(25,0,0.155), rnorm(75,1,0.280)))
out <- clust_cp_multi(data = data_array, n_iterations = 5000, B = 1000, L = 1,
gamma = 0.1, k_0 = 0.25, nu_0 = 5, phi_0 = diag(0.1,3,3), m_0 = rep(0,3))
get_clust_VI(out$clust[2500:5000,])
# clust_cp_epi
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(S0 = 10000, I0 = 10, max_time = 50, beta_vec = betas[[i]], gamma_0 = 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_epi(data = data_mat, n_iterations = 5000, M = 500, B = 1000, L = 1)
get_clust_VI(out$clust[1000:5000,])
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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