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TSMCP (version 1.0)

Fast Two Stage Multiple Change Point Detection

Description

A novel and fast two stage method for simultaneous multiple change point detection and variable selection for piecewise stationary autoregressive (PSAR) processes and linear regression model. It also simultaneously performs variable selection for each autoregressive model and hence the order selection.

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Version

Install

install.packages('TSMCP')

Monthly Downloads

8

Version

1.0

License

GPL (>= 2)

Maintainer

Yaguang Li

Last Published

November 18th, 2018

Functions in TSMCP (1.0)

tsmcplm

Two stage multiple change point detection in linear models.
cpvnts

Multiple change point detection and variable selection for nonstationary time series models.