Change-Point Estimation for Expensive and High-Dimensional Models

This implements the methods developed in, L. Bybee and Y. Atchade. (2018). Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an applications specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.


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install.packages("changepointsHD")

0.3.1 by Leland Bybee, a month ago


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


Authors: Leland Bybee


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp, methods

Linking to RcppArmadillo, Rcpp


See at CRAN