Piotr Fryzlewicz

DDHFm

Contains the normalizing and variance stabilizing
Data-Driven Haar-Fisz algorithm. Also contains rel...

Identifies change-points in the common and the idiosyncratic components via factor modelling.

Methods to compute linear h-step ahead prediction coefficients based
on localised and iterated Yule-...

Provides efficient implementation of the Narrowest-Over-Threshold methodology for detecting an unkno...

Estimate Large correlation and covariance matrices and their inverses using
integration of the sampl...

The package implements top-down and bottom-up algorithms
for nonparametric function estimation in Ga...

Provides efficient implementation of the Wild Binary Segmentation and Binary
Segmentation algorithms...

Implements detection for the number and locations of
the change-points in a time series using the Wi...