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.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.0.3 by Lukas Zierahn, 7 months ago


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