stepR

swMATH20772CRANstepRMaRDI QIDQ32587FDOQ32587

Multiscale Change-Point Inference

Hannes Sieling, Pein Florian, Thomas Hotz

Last update: 13 November 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 2.1-4, 1.0-1, 1.0-2, 1.0-3, 1.0-4, 1.0-5.1, 1.0-5, 1.0-6, 1.0-7, 1.0, 2.0-1, 2.0-2, 2.0-3, 2.0-4, 2.1-0, 2.1-1, 2.1-3, 2.1-8, 2.1-9

Source code repository: https://github.com/cran/stepR

Description

Allows fitting of step-functions to univariate serial data where neither the number of jumps nor their positions is known by implementing the multiscale regression estimators SMUCE, simulataneous multiscale changepoint estimator, (K. Frick, A. Munk and H. Sieling, 2014) <doi:10.1111/rssb.12047> and HSMUCE, heterogeneous SMUCE, (F. Pein, H. Sieling and A. Munk, 2017) <doi:10.1111/rssb.12202>. In addition, confidence intervals for the change-point locations and bands for the unknown signal can be obtained.

Cites work

• Multiscale Change Point Inference
• Heterogeneous Change Point Inference

Cited In (12)

• Bivariate change point detection: Joint detection of changes in expectation and variance
• Multiscale change point detection via gradual bandwidth adjustment in moving sum processes
• clampSeg
• linearQ
• Heterogeneous Change Point Inference
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• Optimal nonparametric change point analysis
• FDRSeg
• crossvalidationCP
• Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
• Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach
• Title not available (Why is that?)

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