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L2hdchange: L2 Inference for Change Points in High-Dimensional Time Series
Provides a method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. See Li et al. (2023) "L2 Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM". arXiv preprint <arXiv:2208.13074>.
Getting started
Browse package contents
Package details |
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| Author | Jiaqi Li [aut], Likai Chen [aut], Weining Wang [aut], Wei Biao Wu [aut], Rui Lin [cre] |
| Maintainer | Rui Lin <ruilin1081@gmail.com> |
| License | GPL (>= 3) |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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