Journal of Statistical Software· 2014Q1
<b>changepoint</b>: An<i>R</i>Package for Changepoint Analysis
- 1,264citations
- Q1SCImago
- 2014year
Short summary
The R package 'changepoint' offers multiple algorithms for detecting multiple changes in time series, including the recently proposed PELT algorithm.
AI-generated from the title and abstract; the full text is not read.
Key points
- The 'changepoint' R package facilitates the detection of multiple changepoints in time series.
- It offers users a choice of various changepoint search methods.
- The package includes an implementation of the PELT algorithm.
- It allows for comparison between PELT and binary segmentation approaches.
AI-generated from the title and abstract; the full text is not read.
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.
The authors' abstract, as published at the source. Journal of Statistical Software, 2014 · DOI ↗
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Field: General Economics, Econometrics and Finance
General Economics, Econometrics and FinanceEconomics, Econometrics and Finance