changepointsHD-package {changepointsHD} | R Documentation |
This implements the methods developed in, L. Bybee and Y. Atchade. (2018). Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an applications specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.
Package: | changepointsHD |
Type: | Package |
Version: | 0.3.0 |
Date: | 2017-11-06 |
License: | GPL-2 |
Leland Bybee
Maintainer: Leland Bybee <lelandb@umich.edu>
1. L. Bybee and Y. Atchade: "Change-Point Computation for Large Graphical Models: A Scalable Algorithm for Gaussian Graphical Models with Change-Points", 2018; [http://jmlr.csail.mit.edu/papers/volume19/17-218/17-218.pdf].