fchamroukhi/MPWR_r: Multiple Polynomial Piecewise Regression ('MPWR') for Optimal Multivariate Time-Series Segmentation
Provides a multiple polynomial piecewise regression model for the optimal segmentation of multivariate time series with regime changes. It uses MLE for the estimation of the regression parameters with dynamic programming for the segmentation. Originally developped and written in 'Matlab' by Faicel Chamroukhi <https://github.com/fchamroukhi/MPWR>.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | GPL (>= 3) |
| Version | 0.1.0 |
| URL | https://github.com/fchamroukhi/MPWR_r |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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