malithj/postCP: A package to estimate posterior probabilities and perform model selection in change-point models using constrained HMM

The functions are used for change-point problems, after an initial set of change-points within the data has already been obtained. The function postCP obtains estimates of posterior probabilities of change-point and hidden states for each observation, and confidence intervals for the positions of the change-point. The function postCPsample obtains random samples of sets of change-points using the output of the postCP function. Model selection may be performed using function postCPmodelsel through criteria obtained from function postCPcrit.

install.packages("remotes")
remotes::install_github("malithj/postCP")