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.


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install.packages("InspectChangepoint")

1.0.1 by Tengyao Wang, 3 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