Package: SNSeg 1.0.3

Zifeng Zhao

SNSeg: Self-Normalization(SN) Based Change-Point Estimation for Time Series

Implementations self-normalization (SN) based algorithms for change-points estimation in time series data. This comprises nested local-window algorithms for detecting changes in both univariate and multivariate time series developed in Zhao, Jiang and Shao (2022) <doi:10.1111/rssb.12552>.

Authors:Shubo Sun [aut], Zifeng Zhao [aut, cre], Feiyu Jiang [aut], Xiaofeng Shao [aut]

SNSeg_1.0.3.tar.gz
SNSeg_1.0.3.tar.gz(r-4.7-arm64)SNSeg_1.0.3.tar.gz(r-4.7-x86_64)SNSeg_1.0.3.tar.gz(r-4.6-arm64)SNSeg_1.0.3.tar.gz(r-4.6-x86_64)
SNSeg_1.0.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
SNSeg/json (API)

# Install 'SNSeg' in R:

install.packages('SNSeg', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

critical_values_HD - Critical Values of Self-Normalization
critical_values_multi - Critical Values of Self-Normalization
critical_values_single - Critical Values of Self-Normalization

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

2.00 score 1 stars 5 scripts 578 downloads 8 exports 2 dependencies

Last updated from:ccc2644b49. Checks:6 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	133
linux-devel-x86_64	OK	126
source / vignettes	OK	215
linux-release-arm64	OK	128
linux-release-x86_64	OK	118
wasm-release	OK	127

Exports:MAR MAR_MTS_Covariance MAR_Variance max_SNsweep SNSeg_estimate SNSeg_HD SNSeg_Multi SNSeg_Uni

Dependencies:mvtnorm Rcpp

Introduction to SNSeg and Examples

Rendered fromSNSeg.Rmdusingknitr::rmarkdown

Last update: 2024-06-03
Started: 2023-07-06

Citation

Readme and manuals

Help Manual

Help page	Topics
Critical Values of Self-Normalization (SN) based test statistic for changes in high-dimensional means (SNHD)	critical_values_HD
Critical Values of Self-Normalization (SN) based test statistic for changes in multiple parameters (SNCP)	critical_values_multi
Critical Values of Self-Normalization (SN) based test statistic for the change in a single parameter (SNCP)	critical_values_single
A funtion to generate a multivariate autoregressive process (MAR) in time series	MAR
A Funtion to generate a multivariate autoregressive process (MAR) model in time series. It is used for testing change-points based on the change in multivariate means or multivariate covariance for multivariate time series. It also works for the change in correlations between two univariate time series.	MAR_MTS_Covariance
A funtion to generate a multivariate autoregressive process (MAR) model in time series for testing change points based on variance and autocovariance	MAR_Variance
SN-based test statistic segmentation plot for univariate, mulitivariate and high-dimensional time series	max_SNsweep
Plotting the output for high-dimensional time series with dimension greater than 10	plot.SNSeg_HD
Plotting the output for multivariate time series with dimension no greater than 10	plot.SNSeg_Multi
Plotting the output for univariate or bivariate time series (testing the change in correlation between bivariate time series)	plot.SNSeg_Uni
Print SN-based change-point estimates for high-dimensional time series with dimension greater than 10	print.SNSeg_HD
Print SN-based change-point estimates for multivariate time series with dimension no greater than 10	print.SNSeg_Multi
Print SN-based change-point estimates for univariate or bivariate time series (testing the change in correlation between bivariate time series)	print.SNSeg_Uni
SNSeg: An R Package for Time Series Segmentation via Self-Normalization (SN)	SNSeg
Parameter estimates of each segment separated by Self-Normalization (SN) based change-point estimates	SNSeg_estimate
Self-normalization (SN) based change points estimation for high dimensional time series for changes in high-dimensional means (SNHD).	SNSeg_HD
Self-normalization (SN) based change points estimation for multivariate time series	SNSeg_Multi
Self-normalization (SN) based change point estimates for univariate time series	SNSeg_Uni
Summary of SN-based change-point estimates for high-dimensional time series with dimension greater than 10	summary.SNSeg_HD
Summary of SN-based change-point estimates for multivariate time series with dimension no greater than 10	summary.SNSeg_Multi
Summary of SN-based change-point estimates for univariate or bivariate time series (testing the change in correlation between bivariate time series)	summary.SNSeg_Uni

Package: SNSeg 1.0.3

SNSeg: Self-Normalization(SN) Based Change-Point Estimation for Time Series

Citation

Readme and manuals

Help Manual

Usage by other packages (reverse dependencies)