CptNonPar

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Nonparametric Change Point Detection for Multivariate Time Series

Haeran Cho, Euan T. McGonigle

Last update: 13 June 2023

Copyright license: GNU General Public License

Software version identifier: 0.1.1

Description

Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2023) <arXiv:2305.07581> for description of the NP-MOJO methodology.

Cites work

• Nonparametric data segmentation in multivariate time series via joint characteristic functions

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