Package: npwbs 0.2.0

Gordon J. Ross

npwbs: Nonparametric Multiple Change Point Detection Using WBS

Implements the procedure from G. J. Ross (2021) - "Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation" <arxiv:2107.01742>. This uses a version of Wild Binary Segmentation to detect multiple location-scale (i.e. mean and/or variance) change points in a sequence of univariate observations, with a strict control on the probability of incorrectly detecting a change point in a sequence which does not contain any.

Authors:Gordon J. Ross

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npwbs.pdf |npwbs.html✨
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Last updated 3 years agofrom:e61be9176b. Checks:OK: 2. Indexed: yes.

Exports:detectChanges

Dependencies: