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Up: Choice of parameters
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The choice of 
depends on what kind of structural changes we
are looking for. If we allow small gradual changes in the time
series, then we cannot take very large. On the contrary, if
we take too small, then an outlier can be recognized as a
structural change. A general rule is that the value of has to
be reasonably large. Of course, should be smaller than 
and all the distances between sequential change-points (in the
case of multiple changes), otherwise we can either miss or smooth
out all changes in our time series.