changepoint: An R Package for Changepoint Analysis

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Authors Rebecca Killick, Idris A. Eckley
Journal/Conference Name JOURNAL OF STATISTICAL SOFTWARE
Paper Category
Paper Abstract One of the key challenges in changepoint analysis is the ability to detect multiple changes within a given time series or sequence. The changepoint package has been developed to provide users with a choice of multiple changepoint search methods to use in conjunction with a given changepoint method and in particular provides an implementation of the recently proposed PELT algorithm. This article describes the search methods which are implemented in the package as well as some of the available test statistics whilst highlighting their application with simulated and practical examples. Particular emphasis is placed on the PELT algorithm and how results differ from the binary segmentation approach.
Date of publication 2014
Code Programming Language R
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