Implements various procedures for finding multiple change-points. Two methods make use of dynamic programming and probabilistic pruning, with no distributional assumptions other than the existence of certain absolute moments in one method. Hierarchical and exact search methods are included. All methods return the set of estimated change- points as well as other summary information.

Maintainer: Nicholas A. James <nj89 at cornell.edu>

Author(s): Nicholas A. James, Wenyu Zhang and David S. Matteson

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

install.packages("ecp")

Depends R (>= 3.00), Rcpp
Imports stats, utils
Suggests mvtnorm, MASS, combinat, R.rsp
Enhances
Linking to Rcpp
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Package ecp
Materials
URL
Task Views TimeSeries
Version 3.0.0
Published 2016-09-27
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks ecp check results
Package source ecp_3.0.0.tar.gz