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npwbs: Nonparametric Multiple Change Point Detection Using WBS
Implements the procedure from G. J. Ross (2021) - "Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation" <arxiv:2107.01742>. This uses a version of Wild Binary Segmentation to detect multiple location-scale (i.e. mean and/or variance) change points in a sequence of univariate observations, with a strict control on the probability of incorrectly detecting a change point in a sequence which does not contain any.
Getting started
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Package details |
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| Author | Gordon J. Ross |
| Maintainer | Gordon J. Ross <gordon.ross@ed.ac.uk> |
| License | GPL-3 |
| Version | 0.2.0 |
| Package repository | View on CRAN |
| Installation |
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