changepoint - Methods for Changepoint Detection

Implements various mainstream and specialised changepoint methods for finding single and multiple changepoints within data. Many popular non-parametric and frequentist methods are included. The cpt.mean(), cpt.var(), cpt.meanvar() functions should be your first point of call.

Last updated 20 days ago

changepointsegmentation

10.59 score 128 stars 40 packages 688 scripts 6.2k downloads

EnvCpt - Detection of Structural Changes in Climate and Environment Time Series

Tools for automatic model selection and diagnostics for Climate and Environmental data. In particular the envcpt() function does automatic model selection between a variety of trend, changepoint and autocorrelation models. The envcpt() function should be your first port of call.

Last updated 4 years ago

3.31 score 5 stars 41 scripts 782 downloads

changepoint.influence - Package to Calculate the Influence of the Data on a Changepoint Segmentation

Allows users to input their data, segmentation and function used for the segmentation (and additional arguments) and the package calculates the influence of the data on the changepoint locations, see Wilms et al. (2022) <doi:10.1080/10618600.2021.2000873>. Currently this can only be used with the changepoint package functions to identify changes, but we plan to extend this. There are options for different types of graphics to assess the influence.

Last updated 9 months ago

3.30 score 3 scripts 293 downloads

lpacf - Local Partial Autocorrelation Function Estimation for Locally Stationary Wavelet Processes

Provides the method for computing the local partial autocorrelation function for locally stationary wavelet time series from Killick, Knight, Nason, Eckley (2020) <doi:10.1214/20-EJS1748>.

Last updated 2 years ago

1.48 score 1 packages 212 downloads

forecastLSW - Forecasting Routines for Locally Stationary Wavelet Processes

Implementation to perform forecasting of locally stationary wavelet processes by examining the local second order structure of the time series.

Last updated 2 years ago

1.00 score 1 scripts 213 downloads