Nonparametric Change Detection in Multivariate Linear Relationships

Contains implementation of the Nonparametric Splitting Algorithm (NSA), which estimates a set of structural change points (change dates) within a multivariate time-wise linear regression. Additionally, it contains utility functions to estimate corresponding changing linear model, moving energy distance and a change-detection test. For more information, see Malo et. al (2019) .


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install.packages("changedetection")

0.2.0 by Olga Gorskikh, 7 months ago


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


Authors: Olga Gorskikh , Pekka Malo , Pauliina Ilmonen , Lauri Viitasaari , Joni Virta


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rdpack, L1pack, glmnet


See at CRAN