High-Dimensional Changepoint Estimation via Sparse Projection

Provides a data-driven projection-based method for estimating changepoints in high-dimensional time series. Multiple changepoints are estimated using a (wild) binary segmentation scheme.


Reference manual

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1.1 by Tengyao Wang, 2 years ago

Browse source code at https://github.com/cran/InspectChangepoint

Authors: Tengyao Wang and Richard Samworth

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports stats, graphics, MASS

See at CRAN