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r-regimechange 0.1.1
Propagated dependencies: r-rlang@1.1.7 r-magrittr@2.0.4 r-ggplot2@4.0.2 r-cli@3.6.5
Channel: guix-cran
Location: guix-cran/packages/r.scm (guix-cran packages r)
Home page: https://github.com/IsadoreNabi/RegimeChange
Licenses: Expat
Build system: r
Synopsis: Comprehensive Regime Change Detection in Time Series
Description:

This package provides a unified framework for detecting regime changes (changepoints) in time series data. Implements both frequentist methods including Cumulative Sum (CUSUM, Page (1954) <doi:10.1093/biomet/41.1-2.100>), Pruned Exact Linear Time (PELT, Killick, Fearnhead, and Eckley (2012) <doi:10.1080/01621459.2012.737745>), Binary Segmentation, and Wild Binary Segmentation, as well as Bayesian methods such as Bayesian Online Changepoint Detection (BOCPD, Adams and MacKay (2007) <doi:10.48550/arXiv.0710.3742> and Shiryaev-Roberts. Supports offline analysis for retrospective detection and online monitoring for real-time surveillance. Provides rigorous uncertainty quantification through confidence intervals and posterior distributions. Handles univariate and multivariate series with detection of changes in mean, variance, trend, and distributional properties.

Total packages: 1