Wild Binary Segmentation for multiple change-point detection
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.
The main routines of the package are
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)
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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
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