The code from my master's thesis June 2018 on Pruned Exact Linear Time generalized for estimation of multiple parameters. Implemented with cost functions for univariate and multivariate Gaussian distributed data.
Install and load package:
{r,eval=FALSE,warning=FALSE,message=FALSE}
library(devtools)
install_github("kristinbakka/generalizedPELT")
library(generalizedPELT)
See the files test-multivariate.R, test-univariate.R and plot-univariate.R for how to use it.
The most important funcions (op, gpelt and the costfunctions) are found in R/mycpt.R.
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