Implements various procedures for finding
multiple change-points from Matteson D. et al (2013)
Changes made since previous version
Changes made since previous version
Changes made since previous version
Changes made since previous version
Changes made since previous version
Changes made since previous version
Changes made since previous version
Changes made since previous version
Change made since previous version
The DJIA dataset now includes the univariate market index, as well as the multivariate time series created by the DOW30 companies. Kraft is not included in the multivariate series.
The list elements in the DJIA dataset are now named; "date", "index", and "market". The "index" component used to be named "returns". The "market" component contains the multivariate time series.
Changes made since previous version
Some of the components of the list returned by both methods have been renamed.
The member argument for e.agglo now has a default value.
Fixed issue with the e.agglo penalty argument.
The penalty argument for e.agglo now accepts a function that depends only on the change point locations.
Both the e.agglo and e.divisive methods now also return the estimated membership vector.
The e.divisive method now also returns a vector containing the number of permutations performed at each stage of the sequential testing procedure.
The STPP dataset has been removed from the package.
Changes made since previous version
The agglomerative procedure now includes an argument for a penalty term.
New permutation test implementation. The new version is based on the method of Gandy (2009), and R now is the maximum number of permutations to perform.
Added 2 additional arguments to the e.divisive() method. These arguments are necessary to implement the updated permutation test.
Function argument names now adhere to standard R naming conventions.
Names of returned list components now adhere to standard R naming convention.
In the list returned by the e.divisive() method, the list component has been renamed estimates.
Updated documentation.
Changes made since previous version
Reordered the argument list for the e.agglo() method. The call is now e.agglo(data, member, alpha=1).
In the list returned by the e.agglo() method, the gof component has been renamed fit.