R package InspectChangepoint: High-Dimensional Changepoint Estimation via Sparse Projection. Provides a data-driven projection-based method for estimating changepoints in high-dimensional time series. Multiple changepoints are estimated using a (wild) binary segmentation scheme.
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References in zbMATH (referenced in 5 articles )
Showing results 1 to 5 of 5.
- Hahn, Georg: Online multivariate changepoint detection with type I error control and constant time/memory updates per series (2022)
- Kaul, Abhishek; Fotopoulos, Stergios B.; Jandhyala, Venkata K.; Safikhani, Abolfazl: Inference on the change point under a high dimensional sparse mean shift (2021)
- Grundy, Thomas; Killick, Rebecca; Mihaylov, Gueorgui: High-dimensional changepoint detection via a geometrically inspired mapping (2020)
- Hahn, Georg; Fearnhead, Paul; Eckley, Idris A.: BayesProject: fast computation of a projection direction for multivariate changepoint detection (2020)
- Wang, Tengyao; Samworth, Richard J.: High dimensional change point estimation via sparse projection (2018)