Multiple Change-Point Detection for Nonstationary Time Series

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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install.packages("wbsts")

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  


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GPL (>= 2) license


Imports Rcpp

Depends on mvtnorm, wmtsa

Linking to Rcpp


See at CRAN