lbybee/changepointsHD: Change-Point Estimation for Expensive and High-Dimensional Models
Version 0.3.0

This implements the methods developed in, L. Bybee and Y. Atchade. (2017) . Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an applications specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.

Getting started

Package details

AuthorLeland Bybee
MaintainerLeland Bybee <[email protected]>
LicenseGPL (>= 2)
Version0.3.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("lbybee/changepointsHD")
lbybee/changepointsHD documentation built on Nov. 8, 2017, 7:31 p.m.