Multiple Change-Point Detection for Nonstationary Time Series
The value that maximises the CUSUM statistic across all the scales (C+...
The value that maximises the random CUSUM statistic across all the sca...
A C++ implementation of the CUSUM statistic
Computation of the Evolutionary Wavelet Spectrum (EWS)
The function finds the value which yields the maximum inner product (C...
Selection of thresholds by fitting an AR(p) model
Universal thresholds calculation
Hello, World!
The value that maximises the random CUSUM statistic across all the sca...
Post-processing of the change-points
Simulation of a piecewise constant AR(1) model
Simulation of a piecewise constant AR(2) model
Simulation of a piecewise constant ARMA(p,q) model for p=2 and q=1
Universal thresholds
The Wild Binary Segmentation algorithm
Change point detection for a nonstationary process using Wild Binary S...
Multiple change-point detection for nonstationary time series
Implements detection for the number and locations of the change-points in a time series using the Wild Binary Segmentation and the Locally Stationary Wavelet model of Korkas and Fryzlewicz (2017) <doi:10.5705/ss.202015.0262>.