InspectChangepoint: High-Dimensional Changepoint Estimation via Sparse Projection

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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.

Author
Tengyao Wang and Richard Samworth
Date of publication
2016-07-02 07:28:38
Maintainer
Tengyao Wang <t.wang@statslab.cam.ac.uk>
License
GPL-3
Version
1.0.1

View on CRAN

Man pages

compute.threshold
Computing threshold used in 'inspect'
cusum.transform
CUSUM transformation
inspect
Informative sparse projection for estimation of changepoints...
InspectChangepoint-package
\Sexpr[results=rd,stage=build]{tools:::Rd_package_title("InspectChangepoint")}
locate.change
Single changepoint estimation
multi.change
High-dimensional time series with multiple changepoints
PiS
Matrix projection onto the nuclear norm unit sphere
PiW
Projection onto the standard simplex
plot.hdchangeseq
Plot function for 'hdchangeseq' class
rescale.variance
Noise standardisation for multivariate time series.
single.change
High-dimensional time series with exactly one change in the...
sparse.svd
Sparse left leading singular vector
vector.norm
Vector norms and entrywise matrix norms
vector.soft.thresh
Soft thresholding operation

Files in this package

InspectChangepoint
InspectChangepoint/NAMESPACE
InspectChangepoint/R
InspectChangepoint/R/inspect.R
InspectChangepoint/R/PiS.R
InspectChangepoint/R/plot.inspect.R
InspectChangepoint/R/vector.soft.thresh.R
InspectChangepoint/R/plot.hdchangeseq.R
InspectChangepoint/R/print.inspect.R
InspectChangepoint/R/compute.threshold.R
InspectChangepoint/R/single.change.R
InspectChangepoint/R/sparse.svd.R
InspectChangepoint/R/rescale.variance.R
InspectChangepoint/R/summary.inspect.R
InspectChangepoint/R/InspectChangepoint-internal.R
InspectChangepoint/R/vector.norm.R
InspectChangepoint/R/locate.change.R
InspectChangepoint/R/multi.change.R
InspectChangepoint/R/PiW.R
InspectChangepoint/R/cusum.transform.R
InspectChangepoint/MD5
InspectChangepoint/build
InspectChangepoint/build/partial.rdb
InspectChangepoint/DESCRIPTION
InspectChangepoint/man
InspectChangepoint/man/locate.change.Rd
InspectChangepoint/man/compute.threshold.Rd
InspectChangepoint/man/vector.soft.thresh.Rd
InspectChangepoint/man/plot.hdchangeseq.Rd
InspectChangepoint/man/PiW.Rd
InspectChangepoint/man/multi.change.Rd
InspectChangepoint/man/sparse.svd.Rd
InspectChangepoint/man/PiS.Rd
InspectChangepoint/man/InspectChangepoint-package.Rd
InspectChangepoint/man/vector.norm.Rd
InspectChangepoint/man/rescale.variance.Rd
InspectChangepoint/man/single.change.Rd
InspectChangepoint/man/inspect.Rd
InspectChangepoint/man/cusum.transform.Rd