changepointsHD: Change-Point Estimation for Expensive and High-Dimensional Models
Version 0.3.0

This implements the methods developed in, L. Bybee and Y. Atchade. (2017) . Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an application specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.

Package details

AuthorLeland Bybee
Date of publication2017-11-07 18:05:15 UTC
MaintainerLeland Bybee <[email protected]>
LicenseGPL (>= 2)
Version0.3.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("changepointsHD")

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changepointsHD documentation built on Nov. 17, 2017, 5:09 a.m.