RChest: Locating Distributional Changes in Highly Dependent Time Series

Provides algorithms to locate multiple distributional change-points in piecewise stationary time series. The algorithms are provably consistent, even in the presence of long-range dependencies. Knowledge of the number of change-points is not required. The code is written in Go and interfaced with R.

Getting started

Package details

AuthorLukas Zierahn [cre, aut], Azadeh Khaleghi [aut]
MaintainerLukas Zierahn <lukas@kappa-mm.de>
URL https://github.com/azalk/GoChest
Package repositoryView on CRAN
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RChest documentation built on Feb. 13, 2021, 5:06 p.m.