wbsts: Multiple Change-Point Detection for Nonstationary Time Series

Share:

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.

Author
Karolos Korkas and Piotr Fryzlewicz
Date of publication
2015-09-29 21:09:02
Maintainer
Karolos Korkas <kkorkas@yahoo.co.uk>
License
GPL-3
Version
0.3

View on CRAN

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

Files in this package

wbsts
wbsts/src
wbsts/src/innerProd.c
wbsts/NAMESPACE
wbsts/R
wbsts/R/ews.trans.R
wbsts/R/finner.prod.iter.R
wbsts/R/get.thres.R
wbsts/R/uh.wbs.R
wbsts/R/post.processing.R
wbsts/R/get.thres.ar.R
wbsts/R/tau.fun.R
wbsts/R/wbsts-internal.R
wbsts/R/sim.pw.ar2.R
wbsts/R/sim.pw.ar.R
wbsts/R/wbs.lsw.R
wbsts/R/sim.pw.arma.R
wbsts/R/cr.rand.max.inner.prod.R
wbsts/MD5
wbsts/DESCRIPTION
wbsts/man
wbsts/man/wbsts-package.Rd
wbsts/man/cr.rand.max.inner.prod.Rd
wbsts/man/sim.pw.ar2.Rd
wbsts/man/post.processing.Rd
wbsts/man/finner.prod.iter.Rd
wbsts/man/tau.fun.Rd
wbsts/man/ews.trans.Rd
wbsts/man/sim.pw.ar.Rd
wbsts/man/sim.pw.arma.Rd
wbsts/man/wbs.lsw.Rd
wbsts/man/uh.wbs.Rd
wbsts/man/get.thres.ar.Rd
wbsts/man/get.thres.Rd