crossvalidationCP

Implements the cross-validation methodology from Pein and Shah (2021) doi:10.48550/arXiv.2112.03220. Can be customised by providing different cross-validation criteria, estimators for the change-point locations and local parameters, and freely chosen folds. Pre-implemented estimators and criteria are available. It also includes our own implementation of the COPPS procedure doi:10.1214/19-AOS1814.

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