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.


Reference manual

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2.0 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, wmtsa

Linking to Rcpp

See at CRAN