In grundy95/changepoint.geo: Geometrically Inspired Multivariate Changepoint Detection

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changepoint.geo

The goal of changepoint.geo is to implement the high-dimensional changepoint detection method GeomCP described in Grundy et al. (2020). This method allows for the detection of changes in mean and variance in high-dimensional time series. The main function is geomcp().

Installation

You can install the released version of changepoint.geo from CRAN with:

install.packages("changepoint.geo ")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("grundy95/changepoint.geo")

Example

This is a basic example which shows the main functionality of the package:

library(changepoint.geo )
set.seed(1)
X <- rbind(matrix(rnorm(100*50),ncol=50),matrix(rnorm(100*50,0,2),ncol=50))
ans <- geomcp(X)
summary(ans)
plot(ans)

grundy95/changepoint.geo documentation built on March 27, 2021, 6:01 a.m.