How can I chose the Threshold value, in change point detection for a set of data with unknown number of changepoints
回答 (2 件)
- The proportionality constant, denoted by β and specified in 'MinThreshold', corresponds to a fixed penalty added for each changepoint. findchangepts rejects adding additional changepoints if the decrease in residual error does not meet the threshold. Set 'MinThreshold' to zero to return all possible changes.
- If you do not know what threshold to use or have a rough idea of the number of changepoints in the signal, specify 'MaxNumChanges' instead. This option gradually increases the threshold until the function finds fewer changes than the specified value.