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changedetection (version 0.2.0)

Nonparametric Change Detection in Multivariate Linear Relationships

Description

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) .

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Install

install.packages('changedetection')

Monthly Downloads

17

Version

0.2.0

License

GPL (>= 2)

Maintainer

Olga Gorskikh

Last Published

June 17th, 2019

Functions in changedetection (0.2.0)

sampledataset

Sample dataset
energyDistance

Energy distance between two datasets
changes

A list of change locations occured in the structure having given responses `y` and regressors `x`
changeTest

A test showing whether two datasets have similar linear structure
changingModel

Changeable linear structure of the data with given change points
movingEnergyDistance

Moving energy distance