hdbinseg (version 1.0.2)

Change-Point Analysis of High-Dimensional Time Series via Binary Segmentation

Description

Binary segmentation methods for detecting and estimating multiple change-points in the mean or second-order structure of high-dimensional time series as described in Cho and Fryzlewicz (2014) and Cho (2016) .

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Version

Install

install.packages('hdbinseg')

Monthly Downloads

382

Version

1.0.2

License

GPL (>= 3)

Maintainer

Haeran Cho

Last Published

August 17th, 2023

Functions in hdbinseg (1.0.2)

sbs.alg

Sparsified Binary Segmentation

dcbs.alg

Double CUSUM Binary Segmentation

get.gg

Data-driven selection of the average block size

get.factor.model

Factor model estimation via Principal Component Analysis

dcbs.thr

Bootstrapping for threshold selection in DCBS algorithm

dcbs.make.tree

Growing a binary tree for DCBS algorithm

gen.input

Generating Haar wavelet transformation of time series

sbs.make.tree

Growing a binary tree for SBS algorithm

dcbs.branch

Growing a branch for DCBS algorithm

sbs.thr

Bootstrapping for threshold selection in SBS algorithm

clean.cp

Removing change-points in the mean

search.b

Searching for a change-point in a branch

tri.kern

Flat-top kernel