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Robustness to outliers #15

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Neverstop7 opened this issue Jun 12, 2024 · 1 comment
Open

Robustness to outliers #15

Neverstop7 opened this issue Jun 12, 2024 · 1 comment
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@Neverstop7
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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")

@rkillick
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Thanks for the suggestion. I want to implement the robust test statistic in this paper:
https://www.tandfonline.com/doi/full/10.1080/01621459.2017.1385466
This is definitely on the "to do" list but there are other things ahead of it in the queue.

@rkillick rkillick self-assigned this Oct 14, 2024
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