changedetection (0.2.0)

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Nonparametric Change Detection in Multivariate Linear Relationships.

Contains implementation of the Nonparametric Splitting Algorithm (NSA), which estimates a set of structural change points (change dates) within a multivariate time-wise linear regression. Additionally, it contains utility functions to estimate corresponding changing linear model, moving energy distance and a change-detection test. For more information, see Malo et. al (2019) .

Maintainer: Olga Gorskikh
Author(s): Olga Gorskikh, Pekka Malo, Pauliina Ilmonen, Lauri Viitasaari, Joni Virta

License: GPL (>= 2)

Uses: glmnet, L1pack, Rdpack

Released 3 months ago.

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