changepoint.mv (version 1.0.2)

Changepoint Analysis for Multivariate Time Series

Description

Detects the Most Recent Changepoints (mrc) for panel data consisting of many related univariate timeseries using the method developed by Bardwell, Fearnhead, Eckley, Smith and Spott (2018) .

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Version

Install

install.packages('changepoint.mv')

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Version

1.0.2

License

GPL (>= 2)

Maintainer

Daniel Grose

Last Published

August 7th, 2020

Functions in changepoint.mv (1.0.2)

summary

Summary

cpts.uv

Univariate changepoint locations.

costs

Uses the changepoint locations to determine the penalised cost of the segmented data.

mrc

Most Recent Changepoints.

show

Displays S4 objects produced by changepoint.mv methods

MDL

Calculates the Minimum Description Length.

plot

Visualisation of data and changepoint locations.

mrcexample

Simulated data.

data.set

Recovers the data from the results of a changepoint analysis.

cpts.mr

Most recent changepoint locations.

cpts.mv

Multivariate changepoint locations.