R package fpop: Segmentation using Optimal Partitioning and Function Pruning. A dynamic programming algorithm for the fast segmentation of univariate signals into piecewise constant profiles. The ’fpop’ package is a wrapper to a C++ implementation of the fpop (Functional Pruning Optimal Partioning) algorithm described in Maidstone et al. 2017 <doi:10.1007/s11222-016-9636-3>. The problem of detecting changepoints in an univariate sequence is formulated in terms of minimising the mean squared error over segmentations. The fpop algorithm exactly minimizes the mean squared error for a penalty linear in the number of changepoints.
Keywords for this software
References in zbMATH (referenced in 3 articles )
Showing results 1 to 3 of 3.
- Alexander Meier, Claudia Kirch, Haeran Cho: mosum: A Package for Moving Sums in Change-Point Analysis (2021) not zbMATH
- Peiliang Bai, Yue Bai, Abolfazl Safikhani, George Michailidis: Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package (2021) arXiv
- Fryzlewicz, Piotr: Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection (2020)