FASeg: Joint Segmentation of Correlated Time Series

It contains a function designed to the joint segmentation in the mean of several correlated series. The method is described in the paper X. Collilieux, E. Lebarbier and S. Robin. A factor model approach for the joint segmentation with between-series correlation (2015) <arXiv:1505.05660>.

Package details

AuthorXavier Collilieux, Emilie Lebarbier and Stephane Robin
MaintainerEmilie Lebarbier <emilie.lebarbier@agroparistech.fr>
Package repositoryView on CRAN
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FASeg documentation built on May 2, 2019, 3:26 a.m.