gfpop: An R Package for Univariate Graph-Constrained Change-Point Detection

gfpop: An R Package for Univariate Graph-Constrained Change-Point Detection

In a world with data that change rapidly and abruptly, it is important to detect those changes accurately. In this paper we describe an R package implementing a generalized version of an algorithm recently proposed by Hocking, Rigaill, Fearnhead, and Bourque (2020) for penalized maximum likelihood...

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Bibliographic Details
Main Authors: Vincent Runge, Toby Dylan Hocking, Gaetano Romano, Fatemeh Afghah, Paul Fearnhead, Guillem Rigaill
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2023-03-01
Series:Journal of Statistical Software
Subjects:
change-point detection
constrained inference
maximum likelihood inference
dynamic programming
robust losses
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/4384
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https://www.jstatsoft.org/index.php/jss/article/view/4384

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