Non-Parametric Multiple Change-Point Analysis of Multivariate
Data
Description
Implements various procedures for finding
multiple change-points from Matteson D. et al (2013)
, Zhang W. et al (2017)
, Arlot S. et al (2019).
Two methods make use of dynamic
programming and pruning, with no distributional
assumptions other than the existence of certain absolute
moments in one method. Hierarchical and exact search methods
are included. All methods return the set of estimated change-
points as well as other summary information.