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Change-Point Analysis of High-Dimensional Time Series via Binary Segmentation

Piotr Fryzlewicz, Haeran Cho

Last update: 17 August 2023

Copyright license: GNU General Public License

Software version identifier: 1.0.1, 1.0.2

Description

Binary segmentation methods for detecting and estimating multiple change-points in the mean or second-order structure of high-dimensional time series as described in Cho and Fryzlewicz (2014) <doi:10.1111/rssb.12079> and Cho (2016) <doi:10.1214/16-EJS1155>.

Cites work

• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Change-point detection in panel data via double CUSUM statistic

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