A simulated non-stationary multidimensional time series with five regimes (segments). This time series is used for illustration.

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A data frame with 670 rows and 4 columns:

- x
The covariate variable (the sampling time for time series).

- y1
The first dimension of the time series. The latter has been generated as follows:

First regime: 100 values of standard Normally distributed random numbers.

Second regime: 120 values of Normally distributed random numbers with mean 7 and unit variance.

Third regime: 200 values of Normally distributed random numbers with mean 4 and unit variance.

Fourth regime: 100 values of Normally distributed random numbers with mean -1 and unit variance.

Fifth regime: 150 values of Normally distributed random numbers with mean 3.5 and unit variance.

- y2
The second dimension of the time series. The latter has been generated as follows:

First regime: 100 values of Normally distributed random numbers with mean 1 and unit variance.

Second regime: 120 values of Normally distributed random numbers with mean 5 and unit variance.

Third regime: 200 values of Normally distributed random numbers with mean 6 and unit variance.

Fourth regime: 100 values of Normally distributed random numbers with mean -2 and unit variance.

Fifth regime: 150 values of Normally distributed random numbers with mean 2 and unit variance.

- y3
The third dimension of the time series. The latter has been generated as follows:

First regime: 100 values of Normally distributed random numbers with mean -2 and unit variance.

Second regime: 120 values of Normally distributed random numbers with mean 10 and unit variance.

Third regime: 200 values of Normally distributed random numbers with mean 8 and unit variance.

Fourth regime: 100 values of Normally distributed random numbers and unit variance.

Fifth regime: 150 values of Normally distributed random numbers with mean 5 and unit variance.

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