decp

Provides a comprehensive approach for identifying and estimating change points in multivariate time series through various statistical methods. Implements the multiple change point detection methodology from Ryan & Killick (2023) doi:10.1080/00401706.2023.2183261 and a novel estimation methodology from Fotopoulos et al. (2023) doi:10.1007/s00362-023-01495-0 generalized to fit the detection methodologies. Performs both detection and estimation of change points, providing visualization and summary information of the estimation process for each detected change point.

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