mcp

Last update 26 October 2026

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

Software version identifier 0.3.3, PACKAGES.rds, 0.2.0, 0.3.0, 0.3.1, 0.3.2, 0.3.4, PACKAGES.rds, 0.4.0

Description

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 posterior predictive intervals are supported - also near the change points. 'mcp' supports hypothesis testing via Savage-Dickey density ratio, posterior contrasts, and PSIS-LOO model comparison. The 'mcp' framework is introduced in Lindeløv (2020) <doi:10.31219/osf.io/fzqxv>.

Cites work

mcp: An R Package for Regression With Multiple Change Points

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