Multiple change point detection under a static factor model
Codes accompanying the paper "Moving sum procedure for multiple change point detection in large factor models" by Barigozzi, Cho and Trapani (2024).
Contains the main routine mosum.fts for the proposed MOSUM procedure for time series segmentation under a factor model.
source('codes.R')
set.seed(1234)
dd <- duan_dgp(n = 1000, p = 500, type = c(2, 1, 4), dep = TRUE)
G0 <- round(dim(dd$x)[2]^(max(2 / 5, 1 - min(1, log(dim(dd$x)[1])/log(dim(dd$x)[2])))) * log(dim(dd$x)[2])^1.1)
out <- mosum.fts(x = dd$x, G = G0)
out$cpts
plot(out$stat, type = 'l')
abline(h = out$thr, col = 3)
abline(v = out$cpts, col = 2); abline(v = dd$k0, col = 4)