mrcexample-data: Simulated data.
In changepoint.mv: Changepoint Analysis for Multivariate Time Series

A dataset containing time series for 100 variates with 500 data points for each variate. The data contains 5 most recent changepoints (mrc's) with each mrc being shared independently by 20 variates. The observations prior to the mrcs are IID Gaussian distributed with unit variance and mean μ \sim N(0,2^{2}). The mean after the mrc is μ \pm 0.5 with the sign of the change chosen uniformly at random for each variate. For more details regarding simulated testing of mrc see Bardwell, Eckley, Fearnhead and Smith 2016, pages 5–7.