CptNonPar

Nonparametric Change Point Detection for Multivariate Time Series

CRAN Package

Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2023) for description of the NP-MOJO methodology.

  • Version0.2.1
  • R version≥ 4.1.0
  • LicenseGPL (≥ 3)
  • Needs compilation?Yes
  • Last release04/23/2024

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  • Depends1 package
  • Imports8 packages
  • Suggests2 packages
  • Linking To1 package