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Self-Normalization(SN) Based Change-Point Estimation for Time Series

Zifeng Zhao, Shubo Sun, Feiyu Jiang, Xiaofeng Shao

Last update: 8 January 2024

Copyright license: GNU General Public License

Software version identifier: 1.0.0, 1.0.1

Implementations self-normalization (SN) based algorithms for change-points estimation in time series data. This comprises nested local-window algorithms for detecting changes in both univariate and multivariate time series developed in Zhao, Jiang and Shao (2022) <doi:10.1111/rssb.12552>.

Cites work

Segmenting Time Series via Self-Normalisation

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