R package changepointsHD: Change-Point Estimation for Expensive and High-Dimensional Models. This implements the methods developed in, L. Bybee and Y. Atchade. (2017) <arXiv:1707.04306>. Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an application specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.
Keywords for this software
References in zbMATH (referenced in 1 article )
Showing result 1 of 1.
- Bybee, Leland; Atchadé, Yves: Change-point computation for large graphical models: a scalable algorithm for Gaussian graphical models with change-points (2018)