CptNonPar0.2.1 package

Nonparametric Change Point Detection for Multivariate Time Series

multilag.cpts.merge

Merge Change Point Estimators from Multiple Lags

multiscale.np.mojo

Multiscale Nonparametric Multiple Lag Change Point Detection

np.mojo.multilag

Nonparametric Multiple Lag Change Point Detection

np.mojo

Nonparametric Single Lag Change Point Detection

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Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2023) <doi:10.48550/arXiv.2305.07581> for description of the NP-MOJO methodology.

  • Maintainer: Euan T. McGonigle
  • License: GPL (>= 3)
  • Last published: 2024-04-23

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