npwbs

Implements the procedure from G. J. Ross (2021) - "Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation" doi:10.48550/arXiv.2107.01742. This uses a version of Wild Binary Segmentation to detect multiple location-scale (i.e. mean and/or variance) change points in a sequence of univariate observations, with a strict control on the probability of incorrectly detecting a change point in a sequence which does not contain any.

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