Software:5979867

CRANHDCDMaRDI QIDQ5979867

High-Dimensional Changepoint Detection

Per August Jarval Moen

Last update: 19 November 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0

Description

Efficient implementations of the following multiple changepoint detection algorithms: Efficient Sparsity Adaptive Change-point estimator by Moen, Glad and Tveten (2023) <arXiv:2306.04702> , Informative Sparse Projection for Estimating Changepoints by Wang and Samworth (2017) <doi:10.1111/rssb.12243>, and the method of Pilliat et al (2023) <doi:10.1214/23-EJS2126>.

Cites work

• High Dimensional Change Point Estimation via Sparse Projection
• Optimal multiple change-point detection for high-dimensional data
• Efficient sparsity adaptive changepoint estimation