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changepoint: an R package for changepoint analysis

Research output: Contribution to journalJournal article

Published

Journal publication date2014
JournalJournal of Statistical Software
Journal number3
Volume58
Number of pages19
Pages1-19
Original languageEnglish

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.

Bibliographic note

This work is licensed under the licenses Paper: Creative Commons Attribution 3.0 Unported License

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