
wbs
 Referenced in 92 articles
[sw11110]
 Wild binary segmentation for multiple changepoint detection. We propose a new technique, called wild ... number and locations of multiple changepoints in data. We assume that the number ... changepoints can increase to infinity with the sample size. Due to a certain random ... very short spacings between the changepoints and/or very small jump magnitudes, unlike standard binary...

CaterpillarSSA
 Referenced in 60 articles
[sw20106]
 program performs extended analysis, forecasting and changepoint detection for onedimensional time series...

StFinMetrics
 Referenced in 38 articles
[sw29976]
 asset returns; rolling analysis and changepoint detection; modelling extreme values and risk measures...

FDRSeg
 Referenced in 19 articles
[sw16730]
 control in multiscale changepoint segmentation. Fast multiple changepoint segmentation methods, which additionally provide ... Moreover, we show that FDRSeg estimates changepoint locations, as well as the signal ... bounded, or even increasing, number of changepoints. FDRSeg can be efficiently computed ... observations when there are many changepoints. The performance of the proposed method is examined...

ecp
 Referenced in 19 articles
[sw21075]
 package ecp: NonParametric Multiple ChangePoint Analysis of Multivariate Data. Implements various procedures ... finding multiple changepoints. Two methods make use of dynamic programming and probabilistic pruning, with ... methods return the set of estimated change points as well as other summary information...

cpm
 Referenced in 21 articles
[sw14569]
 univariate data streams, using the change point model framework. Functions are provided to allow nonparametric ... contain either a single or multiple change points...

basta
 Referenced in 15 articles
[sw29265]
 Multiplechangepoint detection for autoregressive conditional heteroscedastic processes. The emergence of the recent ... theoretically tractable method for detecting multiple change points in the structure of an autoregressive ... binary segmentation consistently estimates the change points. We propose and justify two particular transformations ... interesting correspondence between the estimated change points and major events of the recent financial crisis...

HSMUCE
 Referenced in 13 articles
[sw27013]
 propose, a heterogeneous simultaneous multiscale change point estimator called ‘H‐SMUCE’ for the detection ... multiple change points of the signal in a heterogeneous Gaussian regression model. A piecewise constant ... estimated by minimizing the number of change points over the acceptance region of a multiscale ... underestimation of the number of change points. For this, new deviation bounds for F‐type...

factorcpt
 Referenced in 10 articles
[sw18260]
 Simultaneous multiple changepoint and factor analysis for highdimensional time series. We propose ... time series factor models with multiple changepoints in their secondorder structure. We operate ... estimate the number and locations of changepoints consistently as well as identifying whether they ... wavelets, we transform the problem of changepoint detection in the secondorder structure...

breakfast
 Referenced in 11 articles
[sw22395]
 package breakfast: Multiple ChangePoint Detection and Segmentation. The breakfast package performs multiple changepoint ... Segmentation” and ”Adaptive Wild Binary Segmentation” changepoint detection and segmentation methodologies. To start with...

LogitBoost
 Referenced in 18 articles
[sw08543]
 proposed method is based on a change point detection method on the values of model...

bcp
 Referenced in 10 articles
[sw14696]
 package bcp: Bayesian Analysis of Change Point Problems. Provides an implementation of the Barry ... partition model for the normal errors change point problem using Markov Chain Monte Carlo ... Emerson, 2015); this allows estimation of change point models with multivariate responses. Parallel MCMC, previously...

stepR
 Referenced in 10 articles
[sw20772]
 package stepR: Multiscale ChangePoint Inference. Allows fitting of stepfunctions to univariate serial data ... addition, confidence intervals for the changepoint locations and bands for the unknown signal...

NHPP
 Referenced in 6 articles
[sw03163]
 testing strategy, or resource allocation. The changepoint and other parameters are often unknown ... applied in the case that the changepoint is not necessarily the observation time point ... nonparametric method for estimating the changepoint...

npcp
 Referenced in 9 articles
[sw14395]
 package npcp: Some Nonparametric Tests for ChangePoint Detection in Possibly Multivariate Observations. Provides nonparametric ... tests designed to be particularly sensitive to changes in the underlying copula, Spearman...

seqCBS
 Referenced in 6 articles
[sw12152]
 homogeneous Poisson Processes with change point models. It uses an adaptation of Circular Binary Segmentation ... model selection method for the changepoint model. A case and a control sample reads...

MPFR
 Referenced in 226 articles
[sw03312]
 ANSI/IEEE754 standard for doubleprecision floatingpoint arithmetic (53bit significand). MPFR is free ... license guarantees your freedom to share and change MPFR, to make sure MPFR is free...

MRSVP
 Referenced in 12 articles
[sw02317]
 mobile hosts which can frequently change their point of attachments to the fixed network. Mobile...

wbsts
 Referenced in 3 articles
[sw19367]
 Multiple changepoint detection for nonstationary time series using wild binary segmentation. We propose ... number and locations of the changepoints in the secondorder structure of a time ... cases where the spacings between changepoints are short. In addition, we do not restrict ... total number of changepoints a time series can have. We also ameliorate the performance...

FreSpeD
 Referenced in 6 articles
[sw21049]
 FreSpeD: Frequencyspecific changepoint detection in epileptic seizure multichannel EEG data...