changepoint:an R package for changepoint analysis

Killick, Rebecca and Eckley, Idris (2014) changepoint:an R package for changepoint analysis. Journal of Statistical Software, 58 (3). pp. 1-19.

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Abstract

One of the key challenges in changepoint analysis is the ability to detect multiple changes within a given time series or sequence. The changepoint package has been developed to provide users with a choice of multiple changepoint search methods to use in conjunction with a given changepoint method and in particular provides an implementation of the recently proposed PELT algorithm. This article describes the search methods which are implemented in the package as well as some of the available test statistics whilst highlighting their application with simulated and practical examples. Particular emphasis is placed on the PELT algorithm and how results differ from the binary segmentation approach.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Statistical Software
Additional Information:
This work is licensed under the licenses Paper: Creative Commons Attribution 3.0 Unported License
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
51975
Deposited By:
Deposited On:
09 Dec 2011 08:54
Refereed?:
Yes
Published?:
Published
Last Modified:
11 Aug 2020 00:49