Change Point Detection in High-Dimensional Linear Regression Models

A unified framework for simultaneous structural break detection and parameter estimation in high-dimensional linear models. The proposed method can handle a wide range of models, including change-in-mean model, multiple linear regression model, Vector auto-regressive model and Gaussian graphical model.


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install.packages("LinearDetect")

0.1.5 by Yue Bai, 7 months ago


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


Authors: Yue Bai [aut, cre] , Abolfazl Safikhani [aut]


Documentation:   PDF Manual  


GPL-2 license


Imports stats, graphics, mvtnorm, factoextra, Rcpp, ggplot2, glmnet, sparsevar

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN