文章基本信息

标题：changepoint: An R Package for Changepoint Analysis
本地全文：下载
作者：Rebecca Killick ; Idris A. Eckley
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2014
卷号：58
期号：1
页码：1-19
语种：English
出版社：University of California, Los Angeles
摘要：One of the key challenges in changepoint analysis is the ability to detect multiple changes within a given time series or sequence. The changepoint package has been developed to provide users with a choice of multiple changepoint search methods to use in conjunction with a given changepoint method and in particular provides an implementation of the recently proposed PELT algorithm. This article describes the search methods which are implemented in the package as well as some of the available test statistics whilst highlighting their application with simulated and practical examples. Particular emphasis is placed on the PELT algorithm and how results differ from the binary segmentation approach.