ecp

swMATH21075CRANecpMaRDI QIDQ32887FDOQ32887

Non-Parametric Multiple Change-Point Analysis of Multivariate Data

Nicholas A. James

Last update: 1 July 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 3.1.4, 1.5.1, 1.5.2, 1.5.3, 1.5.4, 1.5.5, 1.6.0, 1.6.2, 2.0.0, 3.0.0, 3.1.0, 3.1.1, 3.1.2, 3.1.3, 3.1.5

Source code repository: https://github.com/cran/ecp

Description

Implements various procedures for finding multiple change-points from Matteson D. et al (2013) <doi:10.1080/01621459.2013.849605>, Zhang W. et al (2017) <doi:10.1109/ICDMW.2017.44>, Arlot S. et al (2019). Two methods make use of dynamic programming and pruning, with no distributional assumptions other than the existence of certain absolute moments in one method. Hierarchical and exact search methods are included. All methods return the set of estimated change- points as well as other summary information.

Cites work

• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• Pruning and Nonparametric Multiple Change Point Detection

Cited In (24)

• Change-point detection in high-dimensional covariance structure
• FuzzyPovertyR
• Most recent changepoint detection in censored panel data
• PCRedux
• New efficient algorithms for multiple change-point detection with reproducing kernels
• A robust bootstrap change point test for high-dimensional location parameter
• An empirical-characteristic-function-based change-point test for detection of multiple distributional changes
• Detecting and modeling changes in a time series of proportions
• Product partition latent variable model for multiple change-point detection in multivariate data
• Multiple changepoint detection in categorical data streams
• ftsa
• High Dimensional Change Point Estimation via Sparse Projection
• High-dimensional changepoint detection via a geometrically inspired mapping
• Change-point methods for multivariate time-series: paired vectorial observations
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• A Kernel Multiple Change-point Algorithm via Model Selection
• RMaCzek
• Optimal nonparametric change point analysis
• Modeling a nonlinear biophysical trend followed by long-memory equilibrium with unknown change point
• ggchangepoint
• Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
• envoutliers
• Title not available (Why is that?)
• Bayesian change point detection for functional data

This page was built for software: ecp