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changepoint (version 0.7)

An R package for changepoint analysis

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. The cpt.mean, cpt.var, cpt.meanvar functions should be your first point of call.

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Version

Install

install.packages('changepoint')

Monthly Downloads

8,160

Version

0.7

License

GPL

Maintainer

Rebecca Killick

Last Published

May 22nd, 2012

Functions in changepoint (0.7)

binseg.mean.norm

Multiple Changes in Mean using Binary Segmentation method - Normal Data

data.set<--methods

~~ Methods for Function data.set<- ~~

distribution<--methods

~~ Methods for Function distribution<- ~~

distribution-methods

~~ Methods for Function distribution ~~

~~ Methods for Function method ~~

~~ Methods for Function param ~~

single.mean.norm.calc

Single Change in Mean - Normal Data

FTSE 100 Daily Returns: 2nd April 1984 -- 11th March 2011

Generic Function - param.est<-

multiple.meanvar.exp

Multiple Changes in Mean and Variance - Exponential Data

~~ Methods for Function cpts ~~

Generic Function - likelihood

multiple.mean.cusum

Multiple Changes in Mean - Cumulative Sums

pen.type<--methods

~~ Methods for Function pen.type<- ~~

Generic Function - pen.type

param.est<--methods

~~ Methods for Function param.est<- ~~

cpttype-methods

~~ Methods for Function cpttype ~~

Likelihood Ratio Decision Function

Multiple Changes in Mean using PELT pruned method - Normal Data

single.meanvar.exp.calc

Single Change in Mean and Variance - Exponential Data

multiple.var.css

Multiple Changes in Variance - Cumulative Sums of Squares

Generic Function - param

G+C Content in Human Chromosome 1

~~ Methods for Function plot in Package `graphics' ~~

binseg.meanvar.poisson

Multiple Changes in Mean and Variance using Binary Segmentation method - Poisson Data

multiple.meanvar.poisson

Multiple Changes in Mean and Variance - Poisson Data

Generic Function - ncpts.max

Generic Function - ncpts

Generic Function - pen.value

segneigh.mean.norm

Multiple Changes in Mean using Segment Neighbourhood method - Normal Data

single.var.norm

Single Change in Variance - Normal Data

Generic Function - cpts<-

Generic Function - ncpts.max<-

changepoint-package

Contains funcions that run various single and multiple changepoint methods

segneigh.meanvar.norm

Multiple Changes in Mean and Variance using Segment Neighbourhood method - Normal Data

segneigh.mean.cusum

Multiple Changes in Mean using Segment Neighbourhood method - Cumulative Sums

Class "cpt.reg"

Generic Function - method

single.mean.cusum.calc

Single Change in Mean - Cumulative Sums

single.meanvar.poisson

Single Change in Mean and Variance - Poisson Data

param.est-methods

~~ Methods for Function param.est ~~

segneigh.meanvar.gamma

Multiple Changes in Mean and Variance using Segment Neighbourhood method - Gamma Data (i.e. change in scale parameter)

single.meanvar.norm.calc

Single Change in Mean and Variance - Normal Data

binseg.var.norm

Multiple Changes in Variance using Binary Segmentation method - Normal Data

PELT.meanvar.norm

Multiple Changes in Mean and Variance using PELT pruned method - Normal Data

pen.value-methods

~~ Methods for Function pen.value ~~

cpttype<--methods

~~ Methods for Function cpttype<- ~~

PELT.meanvar.gamma

Multiple Changes in Mean and Variance using PELT pruned method - Gamma Data (i.e. change in scale parameter)

single.meanvar.gamma.calc

Single Change in Mean and Variance - Gamma Data (i.e. change in scale parameter)

single.meanvar.exp

Single Change in Mean and Variance - Exponential Data

single.var.css.calc

Single Change in Variance - Cumulative Sums of Squares

single.meanvar.gamma

Single Change in Mean and Variance - Gamma Data (i.e. change in scale parameter)

ncpts.max<--methods

~~ Methods for Function ncpts.max<- ~~

Generic Function - distribution<-

binseg.meanvar.gamma

Multiple Changes in Mean and Variance using Binary Segmentation method - Gamma Data (i.e. change in scale parameter)

binseg.meanvar.exp

Multiple Changes in Mean and Variance using Binary Segmentation method - Exponential Data

~~ Methods for Function cpts<- ~~

Single Change in Variance - Cumulative Sums of Squares

single.var.norm.calc

Single Change in Variance - Normal Data

likelihood-methods

~~ Methods for Function likelihood ~~

Generic Function - data.set

Multiple Changes in Variance using Binary Segmentation method - Cumulative Sums of Squares

binseg.mean.cusum

Multiple Changes in Mean using Binary Segmentation method - Cumulative Sums

Generic Function - data.set<-

Identifying Changes in Variance

~~ Methods for Function ncpts ~~

summary-methods

~~ Methods for Function summary in Package `base' ~~

method<--methods

~~ Methods for Function method<- ~~

segneigh.var.norm

Multiple Changes in Variance using Segment Neighbourhood method - Normal Data

Generic Function - param.est

PELT.meanvar.exp

Multiple Changes in Mean and Variance using PELT pruned method - Exponential Data

multiple.meanvar.gamma

Multiple Changes in Mean and Variance - Gamma Data (i.e. change in scale parameter)

single.meanvar.norm

Single Change in Mean and Variance - Normal Data

pen.type-methods

~~ Methods for Function pen.type ~~

segneigh.var.css

Multiple Changes in Variance using Segment Neighbourhood method - Cumulative Sums of Squares

Identifying Changes in Mean and Variance

Generic Function - cpts

PELT.meanvar.poisson

Multiple Changes in Mean and Variance using PELT pruned method - Poisson Data

Generic Function - cpttype

segneigh.meanvar.poisson

Multiple Changes in Mean and Variance using Segment Neighbourhood method - Poisson Data

single.meanvar.poisson.calc

Single Change in Mean and Variance - Poisson Data

Generic Function - pen.type<-

multiple.var.norm

Multiple Changes in Variance - Normal Data

multiple.meanvar.norm

Multiple Changes in Mean and Variance - Normal Data

single.mean.cusum

Single Change in Mean - Cumulative Sums

~~ Methods for Function print in Package `base' ~~

multiple.mean.norm

Multiple Changes in Mean - Normal Data

ncpts.max-methods

~~ Methods for Function ncpts.max ~~

segneigh.meanvar.exp

Multiple Changes in Mean and Variance using Segment Neighbourhood method - Exponential Data

binseg.meanvar.norm

Multiple Changes in Mean and Variance using Binary Segmentation method - Normal Data

Generic Function - distribution

single.mean.norm

Single Change in Mean - Normal Data

Generic Function - pen.value<-

Multiple Changes in Variance using PELT pruned method - Normal Data

Generic Function - cpttype<-

data.set-methods

~~ Methods for Function data.set ~~

Identifying Changes in Mean

Generic Function - method<-

pen.value<--methods

~~ Methods for Function pen.value<- ~~