• wbs

  • Referenced in 64 articles [sw11110]
  • Wild binary segmentation for multiple change-point detection. We propose a new technique, called wild ... number and locations of multiple change-points in data. We assume that the number ... change-points can increase to infinity with the sample size. Due to a certain random ... very short spacings between the change-points and/or very small jump magnitudes, unlike standard binary...
  • CaterpillarSSA

  • Referenced in 57 articles [sw20106]
  • program performs extended analysis, forecasting and change-point detection for one-dimensional time series...
  • StFinMetrics

  • Referenced in 34 articles [sw29976]
  • asset returns; rolling analysis and change-point detection; modelling extreme values and risk measures...
  • ecp

  • Referenced in 16 articles [sw21075]
  • package ecp: Non-Parametric Multiple Change-Point Analysis of Multivariate Data. Implements various procedures ... finding multiple change-points. Two methods make use of dynamic programming and probabilistic pruning, with ... methods return the set of estimated change- points as well as other summary information...
  • FDRSeg

  • Referenced in 14 articles [sw16730]
  • control in multiscale change-point segmentation. Fast multiple change-point segmentation methods, which additionally provide ... Moreover, we show that FDRSeg estimates change-point locations, as well as the signal ... bounded, or even increasing, number of change-points. FDRSeg can be efficiently computed ... observations when there are many change-points. The performance of the proposed method is examined...
  • basta

  • Referenced in 13 articles [sw29265]
  • Multiple-change-point detection for auto-regressive conditional heteroscedastic processes. The emergence of the recent ... theoretically tractable method for detecting multiple change points in the structure of an auto-regressive ... binary segmentation consistently estimates the change points. We propose and justify two particular transformations ... interesting correspondence between the estimated change points and major events of the recent financial crisis...
  • HSMUCE

  • Referenced in 10 articles [sw27013]
  • propose, a heterogeneous simultaneous multiscale change point estimator called ‘H‐SMUCE’ for the detection ... multiple change points of the signal in a heterogeneous Gaussian regression model. A piecewise constant ... estimated by minimizing the number of change points over the acceptance region of a multiscale ... underestimation of the number of change points. For this, new deviation bounds for F‐type...
  • cpm

  • Referenced in 13 articles [sw14569]
  • univariate data streams, using the change point model framework. Functions are provided to allow nonparametric ... contain either a single or multiple change points...
  • LogitBoost

  • Referenced in 18 articles [sw08543]
  • proposed method is based on a change point detection method on the values of model...
  • factorcpt

  • Referenced in 8 articles [sw18260]
  • Simultaneous multiple change-point and factor analysis for high-dimensional time series. We propose ... time series factor models with multiple change-points in their second-order structure. We operate ... estimate the number and locations of change-points consistently as well as identifying whether they ... wavelets, we transform the problem of change-point detection in the second-order structure...
  • bcp

  • Referenced in 10 articles [sw14696]
  • package bcp: Bayesian Analysis of Change Point Problems. Provides an implementation of the Barry ... partition model for the normal errors change point problem using Markov Chain Monte Carlo ... Emerson, 2015); this allows estimation of change point models with multivariate responses. Parallel MCMC, previously...
  • breakfast

  • Referenced in 6 articles [sw22395]
  • package breakfast: Multiple Change-Point Detection and Segmentation. The breakfast package performs multiple change-point ... Segmentation” and ”Adaptive Wild Binary Segmentation” change-point detection and segmentation methodologies. To start with...
  • stepR

  • Referenced in 7 articles [sw20772]
  • package stepR: Multiscale Change-Point Inference. Allows fitting of step-functions to univariate serial data ... addition, confidence intervals for the change-point locations and bands for the unknown signal...
  • NHPP

  • Referenced in 6 articles [sw03163]
  • testing strategy, or resource allocation. The change-point and other parameters are often unknown ... applied in the case that the change-point is not necessarily the observation time point ... nonparametric method for estimating the change-point...
  • seqCBS

  • Referenced in 6 articles [sw12152]
  • homogeneous Poisson Processes with change point models. It uses an adaptation of Circular Binary Segmentation ... model selection method for the change-point model. A case and a control sample reads...
  • MPFR

  • Referenced in 216 articles [sw03312]
  • ANSI/IEEE-754 standard for double-precision floating-point arithmetic (53-bit significand). MPFR is free ... license guarantees your freedom to share and change MPFR, to make sure MPFR is free...
  • MRSVP

  • Referenced in 12 articles [sw02317]
  • mobile hosts which can frequently change their point of attachments to the fixed network. Mobile...
  • wbsts

  • Referenced in 3 articles [sw19367]
  • Multiple change-point detection for non-stationary time series using wild binary segmentation. We propose ... number and locations of the change-points in the second-order structure of a time ... cases where the spacings between change-points are short. In addition, we do not restrict ... total number of change-points a time series can have. We also ameliorate the performance...
  • FreSpeD

  • Referenced in 6 articles [sw21049]
  • FreSpeD: Frequency-specific change-point detection in epileptic seizure multi-channel EEG data...
  • npcp

  • Referenced in 6 articles [sw14395]
  • package npcp: Some Nonparametric Tests for Change-Point Detection in Possibly Multivariate Observations. Provides nonparametric ... tests designed to be particularly sensitive to changes in the underlying copula, Spearman...