changepointsHD-package: Change-Point Estimation for Expensive and High-Dimensional...

Description Details Author(s) References

Description

This implements the methods developed in, L. Bybee and Y. Atchade. (2018). 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 applications 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.

Details

Package: changepointsHD
Type: Package
Version: 0.3.0
Date: 2017-11-06
License: GPL-2

Author(s)

Leland Bybee

Maintainer: Leland Bybee <lelandb@umich.edu>

References

1. L. Bybee and Y. Atchade: "Change-Point Computation for Large Graphical Models: A Scalable Algorithm for Gaussian Graphical Models with Change-Points", 2018; [http://jmlr.csail.mit.edu/papers/volume19/17-218/17-218.pdf].


changepointsHD documentation built on Sept. 20, 2019, 5:04 p.m.