Nonparametric Change Point Detection for Multivariate Time Series [R package CptNonPar version 0.3.0]

CptNonPar: Nonparametric Change Point Detection for Multivariate Time Series

Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2025) <doi:10.1093/biomet/asaf024> for description of the NP-MOJO methodology.

Version: 0.3.0

Depends: R (≥ 4.1.0)

Imports: Rcpp, doParallel, parallel, parallelly, foreach, Rfast, iterators, stats

LinkingTo: Rcpp

Suggests: covr, testthat (≥ 3.0.0)

Published: 2025年04月16日

DOI: 10.32614/CRAN.package.CptNonPar

Author: Euan T. McGonigle [aut, cre], Haeran Cho [aut]

Maintainer: Euan T. McGonigle <e.t.mcgonigle at soton.ac.uk>

BugReports: https://github.com/EuanMcGonigle/CptNonPar/issues

License: GPL (≥ 3)

URL: https://github.com/EuanMcGonigle/CptNonPar