make_chi2_penalty#
- make_chi2_penalty(n_params: int, n: int) float [source][source]#
Create a chi-square penalty.
The penalty is the default penalty for the CAPA algorithm. It is described as “penalty regime 1” in the MVCAPA article [1]. The penalty is based on a probability bound on the chi-squared distribution.
The penalty is given by
n_params + 2 * sqrt(n_params * log(n)) + 2 * log(n)
, where n is the sample size and n_params is the total number of parameters per segment in the model across all variables.- Parameters:
- n_paramsint
Number of model parameters per segment.
- nint
Sample size.
- Returns:
- float
The chi-square penalty value.
References
[1]Fisch, A. T., Eckley, I. A., & Fearnhead, P. (2022). Subset multivariate segment and point anomaly detection. Journal of Computational and Graphical Statistics, 31(2), 574-585.