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MFT: The Multiple Filter Test for Change Point Detection

Provides statistical tests and algorithms for the detection of change points in time series and point processes - particularly for changes in the mean in time series and for changes in the rate and in the variance in point processes. References - Michael Messer, Marietta Kirchner, Julia Schiemann, Jochen Roeper, Ralph Neininger and Gaby Schneider (2014), A multiple filter test for the detection of rate changes in renewal processes with varying variance <doi:10.1214/14-AOAS782>. Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper, Gaby Schneider (2017), Multi-scale detection of variance changes in renewal processes in the presence of rate change points <doi:10.1111/jtsa.12254>. Michael Messer, Kaue M. Costa, Jochen Roeper and Gaby Schneider (2017), Multi-scale detection of rate changes in spike trains with weak dependencies <doi:10.1007/s10827-016-0635-3>. Michael Messer, Stefan Albert and Gaby Schneider (2018), The multiple filter test for change point detection in time series <doi:10.1007/s00184-018-0672-1>. Michael Messer, Hendrik Backhaus, Albrecht Stroh and Gaby Schneider (2019+) Peak detection in time series.

Version: 2.0
Published: 2019-03-11
DOI: 10.32614/CRAN.package.MFT
Author: Michael Messer, Stefan Albert, Solveig Plomer, Gaby Schneider
Maintainer: Michael Messer <messer at math.uni-frankfurt.de>
License: GPL-3
NeedsCompilation: no
CRAN checks: MFT results

Documentation:

Reference manual: MFT.pdf

Downloads:

Package source: MFT_2.0.tar.gz
Windows binaries: r-devel: MFT_2.0.zip, r-release: MFT_2.0.zip, r-oldrel: MFT_2.0.zip
macOS binaries: r-release (arm64): MFT_2.0.tgz, r-oldrel (arm64): MFT_2.0.tgz, r-release (x86_64): MFT_2.0.tgz, r-oldrel (x86_64): MFT_2.0.tgz
Old sources: MFT archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=MFT to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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