TY - JOUR

T1 - changepoint

T2 - an R package for changepoint analysis

AU - Killick, Rebecca

AU - Eckley, Idris

N1 - This work is licensed under the licenses Paper: Creative Commons Attribution 3.0 Unported License

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Segmentation

KW - Break Points

KW - Search Methods

KW - Bioinformatics

KW - Energy Time Series

KW - R

M3 - Journal article

VL - 58

SP - 1

EP - 19

JO - Journal of Statistical Software

JF - Journal of Statistical Software

SN - 1548-7660

IS - 3

ER -