mosum

Moving Sum Based Procedures for Changes in the Mean

CRAN Package

Implementations of MOSUM-based statistical procedures and algorithms for detecting multiple changes in the mean. This comprises the MOSUM procedure for estimating multiple mean changes from Eichinger and Kirch (2018) and the multiscale algorithmic extension from Cho and Kirch (2022) , as well as the bootstrap procedure for generating confidence intervals about the locations of change points as proposed in Cho and Kirch (2022) . See also Meier, Kirch and Cho (2021) which accompanies the R package.

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  • Depends1 package
  • Imports4 packages
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