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CptNonPar: Nonparametric Change Point Detection for Multivariate Time Series
Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2025) <doi:10.1093/biomet/asaf024> for description of the NP-MOJO methodology.
Getting started
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Package details |
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| Author | Euan T. McGonigle [aut, cre], Haeran Cho [aut] |
| Maintainer | Euan T. McGonigle <e.t.mcgonigle@soton.ac.uk> |
| License | GPL (>= 3) |
| Version | 0.3.0 |
| URL | https://github.com/EuanMcGonigle/CptNonPar |
| Package repository | View on CRAN |
| Installation |
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