Multiple Testing of Local Extrema for Detection of Change Points
Estimate s2 ,lambda2 ,lambda4 ,Delta
Compute convolution function using FFT, similar to the function 'conv'...
Parallel computing fdr and power of change points estimation for diffe...
Evaluate performance of estimated change points
FDR threshold based on the Benjamini-Hochberg algorithm
Generate first-order differential of a smoothed sequence Y
Generate a piecewise constant sequence starting from 0
Generate Gaussian autocorrelated random error sequence based on White-...
Illustration plot of the procedure t0 detect change points
Find locations of change points
Find local maxima and minima in a sequence
A new approach to detect change points based on smoothing and multiple testing, which is for long data sequence modeled as piecewise constant functions plus stationary Gaussian noise, see Dan Cheng and Armin Schwartzman (2015) <arXiv:1504.06384>.