Nonparametric Change Detection in Multivariate Linear
Relationships
Olga Gorskikh, Pekka Malo, Pauliina Ilmonen, Lauri Viitasaari, Joni Virta
Contains implementation of the Nonparametric Splitting Algorithm (NSA), which estimates a set of structural change points (change dates) within a multivariate time-wise linear regression. Additionally, it contains utility functions to estimate corresponding changing linear model, moving energy distance and a change-detection test. For more information, see Malo et. al (2019) <arXiv:1805.08512>.

Contains implementation of the Nonparametric Splitting Algorithm (NSA), which estimates a set of structural change points (change dates) within a multivariate time-wise linear regression. Additionally, it contains utility functions to estimate corresponding changing linear model, moving energy distance and a change-detection test. For more information, see Malo et. al (2019) <arXiv:1805.08512v2>.

Contains funcions that run various single and multiple
changepoint methods
Rebecca Killick <r.killick@lancs.ac.uk>, Idris A. Eckley
<i.eckley@lancs.ac.uk>
Implements various mainstream and specialised changepoint
methods for finding single and multiple changepoints within
data.  Many popular non-parametric and frequentist methods are
included.  The cpt.mean, cpt.var, cpt.meanvar, cpt.reg
functions should be your first point of call.

Implements various mainstream and specialised changepoint
methods for finding single and multiple changepoints within
data.  Many popular non-parametric and frequentist methods are
included.  The cpt.mean, cpt.var, cpt.meanvar functions should
be your first point of call.

c(person("Rebecca", "Killick",
role=c("aut","cre"),email="r.killick@lancs.ac.uk"),
person("Idris", "Eckley", role="aut"),
person("Paul","Fearnhead",role="ctb"))
Rebecca Killick <r.killick@lancs.ac.uk> and Idris Eckley with
contributions from Paul Fearnhead

Implements various mainstream and specialised changepoint methods for finding single and multiple changepoints within data.  Many popular non-parametric and frequentist methods are included.  The cpt.mean, cpt.var, cpt.meanvar functions should be your first point of call.
Rebecca Killick [aut, cre],
Idris Eckley [aut],
Paul Fearnhead [ctb]