mcp (Q63207)
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Regression with Multiple Change Points
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | mcp |
Regression with Multiple Change Points |
Statements
17 March 2024
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Flexible and informed regression with Multiple Change Points. 'mcp' can infer change points in means, variances, autocorrelation structure, and any combination of these, as well as the parameters of the segments in between. All parameters are estimated with uncertainty and prediction intervals are supported - also near the change points. 'mcp' supports hypothesis testing via Savage-Dickey density ratio, posterior contrasts, and cross-validation. 'mcp' is described in Lindeløv (submitted) <doi:10.31219/osf.io/fzqxv> and generalizes the approach described in Carlin, Gelfand, & Smith (1992) <doi:10.2307/2347570> and Stephens (1994) <doi:10.2307/2986119>.
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