Multiple Change-Point Detection for Nonstationary Time Series

across_fip | The value that maximises the CUSUM statistic across all the... |

cr.rand.max.inner.prod | The value that maximises the random CUSUM statistic across... |

cusum | A C++ implementation of the CUSUM statistic |

ews.trans | Computation of the Evolutionary Wavelet Spectrum (EWS) |

finner_prod_maxp | The function finds the value which yields the maximum inner... |

get.thres | Universal thresholds calculation |

get.thres.ar | Selection of thresholds by fitting an AR(p) model |

multi_across_fip | The value that maximises the random CUSUM statistic across... |

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 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.