Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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Authors: Rebecca Killick, Idris A. Eckley
Title: changepoint: An R Package for Changepoint Analysis
Abstract: 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.

Page views:: 22929. Submitted: 2013-01-10. Published: 2014-06-25.
Paper: changepoint: An R Package for Changepoint Analysis     Download PDF (Downloads: 49730)
changepoint_1.1.5.tar.gz: R source package Download (Downloads: 657; 239KB)
v58i03.R: R example code from the paper Download (Downloads: 863; 1KB)

DOI: 10.18637/jss.v058.i03

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.