changepointsHD: Change-Point Estimation for Expensive and High-Dimensional Models

This implements the methods developed in, L. Bybee and Y. Atchade. (2017) <arXiv:1707.04306>. Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an application specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.

Version: 0.3.0
Imports: Rcpp (≥ 0.12.3), methods
LinkingTo: RcppArmadillo, Rcpp
Published: 2017-11-07
Author: Leland Bybee
Maintainer: Leland Bybee <lelandb at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: changepointsHD results


Reference manual: changepointsHD.pdf
Package source: changepointsHD_0.3.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: not available
OS X Mavericks binaries: r-oldrel: not available


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