changepoint (version 0.3)

changepoint-package: Contains funcions that run various single and multiple changepoint methods

Description

Implements various mainstream and specialised changepoint methods for finding single and multiple changepoints within data. Many popular non-parametric and frequentist methods are included.

Details

ll{ Package: changepoint Type: Package Version: 0.3 Date: 2011-01-24 License: GPL LazyLoad: yes }

References

Chen, J. and Gupta, A. K. (2000) Parametric statistical change point analysis, Birkhauser

PELT Algorithm: Killick, R. and Fearnhead, P. and Eckley, I.A. (2011) An exact linear time search algorithm for multiple changepoint detection, Submitted

Binary Segmentation: Scott, A. J. and Knott, M. (1974) A Cluster Analysis Method for Grouping Means in the Analysis of Variance, Biometrics 30(3), 507--512

Segment Neighbourhoods: Auger, I. E. And Lawrence, C. E. (1989) Algorithms for the Optimal Identification of Segment Neighborhoods, Bulletin of Mathematical Biology 51(1), 39--54

See Also

cpt.mean,cpt.var,cpt.meanvar,cpt.reg

Examples

# change in variance
x=c(rnorm(100,0,1),rnorm(100,0,10))
ansvar=cpt.var(x)
plot(ansvar)
print(ansvar)

# change in mean
y=c(rnorm(100,0,1),rnorm(100,5,1))
ansmean=cpt.mean(y)
plot(ansmean,cpt.col='blue')
print(ansmean)

# change in mean and variance
z=c(rnorm(100,0,1),rnorm(100,2,10))
ansmeanvar=cpt.meanvar(z)
plot(ansmeanvar,cpt.width=3)
print(ansmeanvar)