the Blocks data, generally considered difficult for multiple change-points estimation due to highly heterogeneous segment levels and lengths, are generated by following codes:
n <- 1000
k0 <- 11
cpt <- c(0.1,0.13,0.15,0.23,0.25,0.40,0.44,0.65,0.76,0.78,0.81)
cpm <- c(4.0,-5.0,3.0,-4.0,5.0,-4.2,2.1,4.3,-3.1,5.1,-4.2)
eps <- rt(n,3)
Blocks <- array(0,n)
for(j in 1:n)
for(i in 1:11)
Blocks <- Blocks+eps
Donoho, D. & Johnstone, I. (1995). Adapting to unknown smoothness via wavelet shrinkage. J. Am.Statist. Assco. 90 1200-1224.
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