ecp: Non-Parametric Multiple Change-Point Analysis of Multivariate Data

Implements various procedures for finding multiple change-points. Two methods make use of dynamic programming and probabilistic pruning, with no distributional assumptions other than the existence of certain absolute moments in one method. Hierarchical and exact search methods are included. All methods return the set of estimated change- points as well as other summary information.

Version: 3.0.0
Depends: R (≥ 3.00), Rcpp
Imports: stats, utils
LinkingTo: Rcpp
Suggests: mvtnorm, MASS, combinat, R.rsp
Published: 2016-09-27
Author: Nicholas A. James, Wenyu Zhang and David S. Matteson
Maintainer: Nicholas A. James <nj89 at cornell.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: ecp citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: ecp results

Downloads:

Reference manual: ecp.pdf
Vignettes: ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data
Package source: ecp_3.0.0.tar.gz
Windows binaries: r-devel: ecp_3.0.0.zip, r-release: ecp_3.0.0.zip, r-oldrel: ecp_3.0.0.zip
OS X Mavericks binaries: r-release: ecp_3.0.0.tgz, r-oldrel: ecp_3.0.0.tgz
Old sources: ecp archive

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