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 of Korkas and Fryzlewicz (2017) .


Reference manual

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


2.1 by Karolos Korkas, a year ago

Browse source code at

Authors: Karolos Korkas and Piotr Fryzlewicz

Documentation:   PDF Manual  

Task views:

GPL (>= 2) license

Imports Rcpp

Depends on mvtnorm, wavelets

Linking to Rcpp

See at CRAN