ChangePointTaylor

A basic implementation of the change in mean detection method outlined in: Taylor, Wayne A. (2000) https://variation.com/wp-content/uploads/change-point-analyzer/change-point-analysis-a-powerful-new-tool-for-detecting-changes.pdf. The package recursively uses the mean-squared error change point calculation to identify candidate change points. The candidate change points are then re-estimated and Taylor's backwards elimination process is then employed to come up with a final set of change points. Many of the underlying functions are written in C++ for improved performance.

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