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BayesProject (version 1.0)

Fast Projection Direction for Multivariate Changepoint Detection

Description

Implementations in 'cpp' of the BayesProject algorithm (see G. Hahn, P. Fearnhead, I.A. Eckley (2020) ) which implements a fast approach to compute a projection direction for multivariate changepoint detection, as well as the sum-cusum and max-cusum methods, and a wild binary segmentation wrapper for all algorithms.

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Version

Install

install.packages('BayesProject')

Monthly Downloads

184

Version

1.0

License

GPL (>= 2)

Maintainer

Georg Hahn

Last Published

September 29th, 2020

Functions in BayesProject (1.0)

wildBinSeg

Wild Binary Segmentation Wrapper for the functions "bayes" and "summaxcusum".
summaxcusum

Cpp implementation of sum-cusum and max-cusum for single changepoint detection.
testdata

Simulated test data.
bayes

Cpp implementation of the Bayesian projection algorithm to detect single multivariate changepoints.