ChangePointTaylor (Q113272)
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Identify Changes in Mean
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | ChangePointTaylor |
Identify Changes in Mean |
Statements
expanded from: GPL (≥ 2) (English)
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14 July 2024
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A basic implementation of the change in mean detection method outlined in: Taylor, Wayne A. (2000) <https://variation.com/wp-content/uploads/change-point-analyzer/change-point-analysis-a-powerful-new-tool-for-detecting-changes.pdf>. The package recursively uses the mean-squared error change point calculation to identify candidate change points. The candidate change points are then re-estimated and Taylor's backwards elimination process is then employed to come up with a final set of change points. Many of the underlying functions are written in C++ for improved performance.
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