changepointsHD

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.

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