changedetection: Nonparametric Change Detection in Multivariate Linear Relationships

Contains implementation of the Nonparametric Splitting Algorithm (NSA), which estimates a set of structural change points (change dates) within a multivariate time-wise linear regression. Additionally, it contains utility functions to estimate corresponding changing linear model, moving energy distance and a change-detection test. For more information, see Malo et. al (2019) <arXiv:1805.08512v2>.

Getting started

Package details

AuthorOlga Gorskikh, Pekka Malo, Pauliina Ilmonen, Lauri Viitasaari, Joni Virta
MaintainerOlga Gorskikh <olga.a.gorskikh@gmail.com>
LicenseGPL (>= 2)
Version0.2.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("changedetection")

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changedetection documentation built on June 17, 2019, 5:03 p.m.