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.

Documentation

Manual: wbsts.pdf
Vignette: None available.

Maintainer: Karolos Korkas <kkorkas at yahoo.co.uk>

Author(s): Karolos Korkas and Piotr Fryzlewicz

Install package and any missing dependencies by running this line in your R console:

install.packages("wbsts")

Depends mvtnorm, wmtsa, R (>= 3.0.0)
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Package wbsts
Materials
URL
Task Views TimeSeries
Version 0.3
Published 2015-09-29
License GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks wbsts check results
Package source wbsts_0.3.tar.gz