CptNonPar (Q5984335)
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Nonparametric Change Point Detection for Multivariate Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CptNonPar |
Nonparametric Change Point Detection for Multivariate Time Series |
Statements
Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2023) <arXiv:2305.07581> for description of the NP-MOJO methodology.
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13 June 2023
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