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 <[email protected]>
LicenseGPL (>= 2)
Version1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("TSMCP")

Try the TSMCP package in your browser

Any scripts or data that you put into this service are public.

TSMCP documentation built on Nov. 19, 2018, 1:05 a.m.