R-universe - kakoko1984 (Karolos Korkas)

wbsts - Multiple Change-Point Detection for Nonstationary Time Series

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 of Korkas and Fryzlewicz (2017) <doi:10.5705/ss.202015.0262>.

Last updated

cpp

1.28 score 19 scripts 330 downloads

segMGarch - Multiple Change-Point Detection for High-Dimensional GARCH Processes

Implements a segmentation algorithm for multiple change-point detection in high-dimensional GARCH processes. It simultaneously segments GARCH processes by identifying 'common' change-points, each of which can be shared by a subset or all of the component time series as a change-point in their within-series and/or cross-sectional correlation structure.

Last updated

cpp

1.00 score 323 downloads

eNchange - Ensemble Methods for Multiple Change-Point Detection

Implements a segmentation algorithm for multiple change-point detection in univariate time series using the Ensemble Binary Segmentation of Korkas (2022) <Journal of the Korean Statistical Society, 51(1), pp.65-86.>.

Last updated

cpp

1.00 score 1 stars 288 downloads