Regression with Multiple Change Points

Flexible and informed regression with Multiple Change Points (MCP). 'mcp' can infer change points in means, variances, autocorrelation structure, and any combination of these, as well as the parameters of the segments in between. All parameters are estimated with uncertainty and prediction intervals are supported - also near the change points. 'mcp' supports hypothesis testing via Savage-Dickey density ratio, posterior contrasts, and cross-validation. 'mcp' provides a generalization of the approach described in Carlin, Gelfand, & Smith (1992) and Stephens (1994) .


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.