The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

Type: Package
Title: Nonparametric Multiple Change Point Detection Using WBS
Version: 0.2.0
Author: Gordon J. Ross
Maintainer: Gordon J. Ross <gordon.ross@ed.ac.uk>
Description: Implements the procedure from G. J. Ross (2021) - "Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation" <doi:10.48550/arXiv.2107.01742>. This uses a version of Wild Binary Segmentation to detect multiple location-scale (i.e. mean and/or variance) change points in a sequence of univariate observations, with a strict control on the probability of incorrectly detecting a change point in a sequence which does not contain any.
Depends: R (≥ 3.6.0)
License: GPL-3
Encoding: UTF-8
NeedsCompilation: no
Packaged: 2021-07-06 01:09:12 UTC; gotdonross
Repository: CRAN
Date/Publication: 2021-07-06 16:00:06 UTC

Nonparametric detection of multiple change points using Wild Binary Segmentation

Description

Returns the estimated number and locations of the change points in a sequence of univariate observations. For full details of how this procedure works, please see G. J. Ross (2021) - "Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation" at https://arxiv.org/abs/2107.01742

Usage

     detectChanges(y,alpha=0.05,prune=TRUE,M=10000,d=2,displayOutput=FALSE)
     

Arguments

y

The sequence to test for change points

alpha

Required Type I error (i.e. false positive) rate. Can be set to either 0.05 or 0.01

prune

Whether to prune potential excess change points via post-processing. Most likely should be left as TRUE.

M

Number of subsequences to sample during WBS. Should be left as M=10000

d

Minimum number of observations between change points. Should be left as d=2.

displayOutput

If TRUE then will print some information while searching for change points

Value

A vector containing the location of the detected change points

Author(s)

Gordon J. Ross gordon@gordonjross.co.uk

Examples

     
set.seed(100)
y <- c(rnorm(30,0,1),rnorm(30,3,1), rnorm(30,0,1),rnorm(30,0,3))
detectChanges(y)

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.
Health stats visible at Monitor.