Fast Projection Direction for Multivariate Changepoint Detection

Implementations in 'cpp' of the BayesProject algorithm (see G. Hahn, P. Fearnhead, I.A. Eckley (2020) ) which implements a fast approach to compute a projection direction for multivariate changepoint detection, as well as the sum-cusum and max-cusum methods, and a wild binary segmentation wrapper for all algorithms.


Reference manual

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1.0 by Georg Hahn, a year ago

Browse source code at

Authors: Georg Hahn [aut,cre] , Paul Fearnhead [ctb] , Idris A. Eckley [ctb]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp, Rdpack

Linking to Rcpp, RcppEigen

See at CRAN