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) .


Reference manual

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0.2.0 by Olga Gorskikh, 2 years ago

Browse source code at

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

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rdpack, L1pack, glmnet

See at CRAN