Changepoint Analysis for Multivariate Time Series

Detects the Most Recent Changepoints (mrc) for panel data consisting of many related univariate timeseries using the method developed by Bardwell, Fearnhead, Eckley, Smith and Spott (2018) .


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Reference manual

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install.packages("changepoint.mv")

1.0.1 by Daniel Grose, 6 months ago


Browse source code at https://github.com/cran/changepoint.mv


Authors: Lawrence Bardwell <[email protected]> [aut] , Idris Eckley <[email protected]> [ths,ctb] , Paul Fearnhead <[email protected]> [ths,ctb] , Daniel Grose <[email protected]> [aut,cre]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Imports Rcpp, methods, zoo, tbart, Rdpack, ggplot2, reshape2, assertive

Suggests gridExtra

Linking to Rcpp


See at CRAN