CptNonPar

MaRDI QIDQ5984335CRANFDO

Authors Haeran Cho, Euan T. McGonigle

Last update 13 June 2023

Copyright license GNU General Public License

Software version identifier 0.1.1

Description

Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2023) <arXiv:2305.07581> for description of the NP-MOJO methodology.

Cites work

• Nonparametric data segmentation in multivariate time series via joint characteristic functions

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