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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
Version
1.0.2
1.0.1
1.0.0
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Install
install.packages('changepoint.mv')
Monthly Downloads
64
Version
1.0.2
License
GPL (>= 2)
Maintainer
Daniel Grose
Last Published
August 7th, 2020
Functions in changepoint.mv (1.0.2)
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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.