InspectChangepoint

R package InspectChangepoint: High-Dimensional Changepoint Estimation via Sparse Projection. Provides a data-driven projection-based method for estimating changepoints in high-dimensional time series. Multiple changepoints are estimated using a (wild) binary segmentation scheme.

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References in zbMATH (referenced in 1 article )

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  1. Wang, Tengyao; Samworth, Richard J.: High dimensional change point estimation via sparse projection (2018)