bcp (3.0.0)

A Package for Performing a Bayesian Analysis of Change Point Problems.


This package provides an implementation of an approximation to the Barry and Hartigan (1993) product partition model for the normal errors change point problem using Markov Chain Monte Carlo. It also extends the methodology to independent multivariate series with an assumed common change point structure.

Maintainer: John W. Emerson
Author(s): Chandra Erdman and John W. Emerson

License: GPL (>= 2)

Uses: foreach, Rcpp, coda, strucchange
Reverse suggests: fPortfolio

Released about 8 years ago.