Fast Two Stage Multiple Change Point Detection

A novel and fast two stage method for simultaneous multiple change point detection and variable selection for piecewise stationary autoregressive (PSAR) processes and linear regression model. It also simultaneously performs variable selection for each autoregressive model and hence the order selection.


Reference manual

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1.0 by Yaguang Li, 2 years ago

Browse source code at

Authors: Yaguang Li [aut, cre] , Baisuo Jin [aut]

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on plus, lars

Suggests MASS

See at CRAN