MFT: The Multiple Filter Test for Change Point Detection

Provides statistical tests and algorithms for the detection of change points in time series and point processes - particularly for changes in the mean in time series and for changes in the rate and in the variance in point processes. References - Michael Messer, Marietta Kirchner, Julia Schiemann, Jochen Roeper, Ralph Neininger and Gaby Schneider (2014) <doi:10.1214/14-AOAS782>, Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper, Gaby Schneider (2017) <doi:10.1111/jtsa.12254>, Michael Messer, Kaue M. Costa, Jochen Roeper and Gaby Schneider (2017) <doi:10.1007/s10827-016-0635-3>.

Getting started

Package details

AuthorMichael Messer, Stefan Albert, Solveig Plomer, Gaby Schneider
MaintainerMichael Messer <[email protected]>
Package repositoryView on CRAN
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MFT documentation built on Sept. 15, 2017, 5:05 p.m.