stepR

Multiscale Change-Point Inference

CRAN Package

Allows fitting of step-functions to univariate serial data where neither the number of jumps nor their positions is known by implementing the multiscale regression estimators SMUCE, simulataneous multiscale changepoint estimator, (K. Frick, A. Munk and H. Sieling, 2014) doi:10.1111/rssb.12047 and HSMUCE, heterogeneous SMUCE, (F. Pein, H. Sieling and A. Munk, 2017) doi:10.1111/rssb.12202. In addition, confidence intervals for the change-point locations and bands for the unknown signal can be obtained.


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