changepoint.np

R package changepoint.np: Methods for Nonparametric Changepoint Detection. Implements the multiple changepoint algorithm PELT with a nonparametric cost function based on the empirical distribution of the data. The cpt.np() function should be your first point of call. This package is an extension to the code{changepoint} package which uses parametric changepoint methods. For further information on the methods see the documentation for code{changepoint}.