ecp: Non-Parametric Multiple Change-Point Analysis of Multivariate Data

Implements various procedures for finding multiple change-points from Matteson D. et al (2013) <doi:10.1080/01621459.2013.849605>, Zhang W. et al (2017) <doi:10.1109/ICDMW.2017.44>, Arlot S. et al (2019). Two methods make use of dynamic programming and pruning, with no distributional assumptions other than the existence of certain absolute moments in one method. Hierarchical and exact search methods are included. All methods return the set of estimated change- points as well as other summary information.

Getting started

Package details

AuthorNicholas A. James, Wenyu Zhang and David S. Matteson
MaintainerWenyu Zhang <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ecp documentation built on Oct. 25, 2020, 5:07 p.m.