FASeg

Joint Segmentation of Correlated Time Series

CRAN Package

It contains a function designed to the joint segmentation in the mean of several correlated series. The method is described in the paper X. Collilieux, E. Lebarbier and S. Robin. A factor model approach for the joint segmentation with between-series correlation (2015) .

  • Version0.1.9
  • R version≥ 2.10
  • LicenseGPL-2
  • Needs compilation?No
  • Last release03/09/2018

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  • Depends1 package