wbsts: Multiple Change-Point Detection for Nonstationary Time Series
Version 0.3

Implements detection for the number and locations of the change-points in a time series using the Wild Binary Segmentation and the Locally Stationary Wavelet model.

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AuthorKarolos Korkas and Piotr Fryzlewicz
Date of publication2015-09-29 21:09:02
MaintainerKarolos Korkas <kkorkas@yahoo.co.uk>
LicenseGPL-3
Version0.3
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("wbsts")

Man pages

cr.rand.max.inner.prod: The value that maximises the random CUSUM statistic across...
ews.trans: Computation of the Evolutionary Wavelet Spectrum (EWS)
finner.prod.iter: A fast implementation of the CUSUM statistic
get.thres: Universal thresholds calculation
get.thres.ar: Selection of thresholds by fitting an AR(p) model
post.processing: Post-processing of the change-points
sim.pw.ar: Simulation of a piecewise constant AR(1) model
sim.pw.ar2: Simulation of a piecewise constant AR(2) model
sim.pw.arma: Simulation of a piecewise constant ARMA(p,q) model for p=2...
tau.fun: Universal thresholds
uh.wbs: The Wild Binary Segmentation algorithm
wbs.lsw: Change point detection for a nonstationary process using Wild...
wbsts-package: Multiple change-point detection for nonstationary time series

Functions

cr.rand.max.inner.prod Man page Source code
ews.trans Man page Source code
finner.prod.iter Man page Source code
get.thres Man page Source code
get.thres.ar Man page Source code
post.processing Man page Source code
sim.pw.ar Man page Source code
sim.pw.ar2 Man page Source code
sim.pw.arma Man page Source code
tau.fun Man page Source code
uh.wbs Man page Source code
wbs.lsw Man page Source code
wbsts-package Man page

Files

src
src/innerProd.c
NAMESPACE
R
R/ews.trans.R
R/finner.prod.iter.R
R/get.thres.R
R/uh.wbs.R
R/post.processing.R
R/get.thres.ar.R
R/tau.fun.R
R/wbsts-internal.R
R/sim.pw.ar2.R
R/sim.pw.ar.R
R/wbs.lsw.R
R/sim.pw.arma.R
R/cr.rand.max.inner.prod.R
MD5
DESCRIPTION
man
man/wbsts-package.Rd
man/cr.rand.max.inner.prod.Rd
man/sim.pw.ar2.Rd
man/post.processing.Rd
man/finner.prod.iter.Rd
man/tau.fun.Rd
man/ews.trans.Rd
man/sim.pw.ar.Rd
man/sim.pw.arma.Rd
man/wbs.lsw.Rd
man/uh.wbs.Rd
man/get.thres.ar.Rd
man/get.thres.Rd
wbsts documentation built on May 20, 2017, 4:37 a.m.