InspectChangepoint: High-Dimensional Changepoint Estimation via Sparse Projection

Provides a data-driven projection-based method for estimating changepoints in high-dimensional time series. Multiple changepoints are estimated using a (wild) binary segmentation scheme.

AuthorTengyao Wang and Richard Samworth
Date of publication2016-07-02 07:28:38
MaintainerTengyao Wang <t.wang@statslab.cam.ac.uk>
LicenseGPL-3
Version1.0.1

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