Change-Point Analysis of High-Dimensional Time Series via Binary Segmentation

clean.cp | Removing change-points in the mean |

dcbs.alg | Double CUSUM Binary Segmentation |

dcbs.branch | Growing a branch for DCBS algorithm |

dcbs.make.tree | Growing a binary tree for DCBS algorithm |

dcbs.thr | Bootstrapping for threshold selection in DCBS algorithm |

gen.input | Generating Haar wavelet transformation of time series |

get.factor.model | Factor model estimation via Principal Component Analysis |

get.gg | Data-driven selection of the average block size |

sbs.alg | Sparsified Binary Segmentation |

sbs.make.tree | Growing a binary tree for SBS algorithm |

sbs.thr | Bootstrapping for threshold selection in SBS algorithm |

search.b | Searching for a change-point in a branch |

tri.kern | Flat-top kernel |

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