ghwang-nk/cpss: Change-Point Detection by Sample-Splitting Methods

Implements multiple change searching algorithms for a variety of frequently considered parametric change-point models. In particular, it integrates a criterion proposed by Zou, Wang and Li (2020) <doi:10.1214/19-AOS1814> to select the number of change-points in a data-driven fashion. Moreover, it also provides interfaces for user-customized change-point models with one's own cost function and parameter estimation routine. It is easy to get started with the cpss.* set of functions by accessing their documentation pages (e.g., ?cpss).

install.packages("remotes")
remotes::install_github("ghwang-nk/cpss")