Implements detection for the number and locations of the change-points in a time series using the Wild Binary Segmentation and the Locally Stationary Wavelet model.
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2.0 by Karolos Korkas, a year ago
Browse source code at https://github.com/cran/wbsts
Authors: Karolos Korkas and Piotr Fryzlewicz
Documentation: PDF Manual
Task views:
GPL (>= 2) license
Imports Rcpp
Depends on mvtnorm, wmtsa
Linking to Rcpp
See at CRAN