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rid: Multiple Change-Point Detection in Multivariate Time Series
Provides efficient functions for detecting multiple change points in multidimensional time series. The models can be piecewise constant or polynomial. Adaptive threshold selection methods are available, see Fan and Wu (2024) <arXiv:2403.00600>.
Getting started
Browse package contents
Package details |
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| Author | Xinyuan Fan [aut, cre, cph], Weichi Wu [aut] |
| Maintainer | Xinyuan Fan <fxy22@mails.tsinghua.edu.cn> |
| License | GPL-3 |
| Version | 0.0.1 |
| Package repository | View on CRAN |
| Installation |
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