TSMCP: Fast Two Stage Multiple Change Point Detection

A novel and fast two stage method for simultaneous multiple change point detection and variable selection for piecewise stationary autoregressive (PSAR) processes and linear regression model. It also simultaneously performs variable selection for each autoregressive model and hence the order selection.

Getting started

Package details

AuthorYaguang Li [aut, cre], Baisuo Jin [aut]
MaintainerYaguang Li <liyg@mail.ustc.edu.cn>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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TSMCP documentation built on May 2, 2019, 6:01 a.m.