Wild Binary Segmentation for multiple change-point detection

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Description

The package implements Wild Binary Segmentation, a technique for consistent estimation of the number and locations of multiple change-points in data. It also provides a fast implementation of the standard Binary Segmentation algorithm.

Details

The main routines of the package are wbs, sbs and changepoints.

References

P. Fryzlewicz (2014), Wild Binary Segmentation for multiple change-point detection. Annals of Statistics, to appear. (http://stats.lse.ac.uk/fryzlewicz/wbs/wbs.pdf)

Examples

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#an example in which standard Binary Segmentation fails to detect change points
x <- rnorm(300)+ c(rep(0,130),rep(-1,20),rep(1,20),rep(0,130))

s <- sbs(x)
w <- wbs(x)

s.cpt <- changepoints(s)
s.cpt

w.cpt <- changepoints(w)
w.cpt
# in this example, both algorithms work well
x <- rnorm(300) + c(rep(1,50),rep(0,250))

s <- sbs(x)
w <- wbs(x)

s.cpt <- changepoints(s)
s.cpt

w.cpt <- changepoints(w)
w.cpt