Description Author(s) References Examples
FASeg contains a function designed to the joint segmentation (the segmentation is series-specific) in the mean of several correlated series. The form of the correlation is assumed to be arbitrary and we propose to model it with a factor model. A EM algorithm is used to estimate the parameters and a model selection strategy is proposed to determine both the number of breakpoints and the number of factors
Xavier Collilieux, Emilie Lebarbier and Stephane Robin
Maintainer: Emilie Lebarbier <emilie.lebarbier@agroparistech.fr>
A factor model approach for the joint segmentation with between-series correlation (arXiv:1505.05660)
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