not: Narrowest-Over-Threshold Change-Point Detection

Provides efficient implementation of the Narrowest-Over-Threshold methodology for detecting an unknown number of change-points occurring at unknown locations in one-dimensional data following 'deterministic signal + noise' model. Currently implemented scenarios are: piecewise-constant signal, piecewise-constant signal with a heavy-tailed noise, piecewise-linear signal, piecewise-quadratic signal, piecewise-constant signal and with piecewise-constant variance of the noise.

AuthorRafal Baranowski, Yining Chen, Piotr Fryzlewicz
Date of publication2016-08-23 23:15:50
MaintainerRafal Baranowski <r.baranowski@lse.ac.uk>
LicenseGPL-2
Version1.0

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