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
Authors: Alexander Meier, Claudia Kirch, Haeran Cho
Title: mosum: A Package for Moving Sums in Change-Point Analysis
Abstract: Time series data, i.e., temporally ordered data, is routinely collected and analysed in in many fields of natural science, economy, technology and medicine, where it is of importance to verify the assumption of stochastic stationarity prior to modeling the data. Nonstationarities in the data are often attributed to structural changes with segments between adjacent change-points being approximately stationary. A particularly important, and thus widely studied, problem in statistics and signal processing is to detect changes in the mean at unknown time points. In this paper, we present the R package mosum, which implements elegant and mathematically well-justified procedures for the multiple mean change problem using the moving sum statistics.

Page views:: 530. Submitted: 2018-04-06. Published: 2021-03-19.
Paper: mosum: A Package for Moving Sums in Change-Point Analysis     Download PDF (Downloads: 147)
Supplements:
mosum_1.2.5.tar.gz: R source package Download (Downloads: 12; 47KB)
v97i08.R: R replication code Download (Downloads: 18; 9KB)
WBS2_SDLL_github_v5.R: R supplementary code Download (Downloads: 16; 6KB)

DOI: 10.18637/jss.v097.i08

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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.