ecp

Non-Parametric Multiple Change-Point Analysis of Multivariate Data

Last update: 1 July 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 3.1.4, 1.5.1, 1.5.2, 1.5.3, 1.5.4, 1.5.5, 1.6.0, 1.6.2, 2.0.0, 3.0.0, 3.1.0, 3.1.1, 3.1.2, 3.1.3, 3.1.5

Source code repository: https://github.com/cran/ecp

Description

Implements various procedures for finding multiple change-points from Matteson D. et al (2013) <doi:10.1080/01621459.2013.849605>, Zhang W. et al (2017) <doi:10.1109/ICDMW.2017.44>, Arlot S. et al (2019). Two methods make use of dynamic programming and 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.

Cites work

Related Items (24)

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