Locating Distributional Changes in Highly Dependent Time Series

Provides algorithms to locate multiple distributional change-points in piecewise stationary time series. The algorithms are provably consistent, even in the presence of long-range dependencies. Knowledge of the number of change-points is not required. The code is written in Go and interfaced with R.


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install.packages("RChest")

1.0.3 by Lukas Zierahn, 7 months ago


https://github.com/azalk/GoChest


Report a bug at https://github.com/azalk/GoChest/issues


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


Authors: Lukas Zierahn [cre, aut] , Azadeh Khaleghi [aut]


Documentation:   PDF Manual  


GPL license


Imports Rdpack, reticulate

Suggests testthat


See at CRAN