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.

Getting started

Package details

AuthorTengyao Wang and Richard Samworth
MaintainerTengyao Wang <tengyao.wang@ucl.ac.uk>
LicenseGPL-3
Version1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("InspectChangepoint")

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InspectChangepoint documentation built on Jan. 9, 2020, 5:09 p.m.