A novel and fast two stage method for simultaneous multiple change point detection and variable selection for piecewise stationary autoregressive (PSAR) processes and linear regression model. It also simultaneously performs variable selection for each autoregressive model and hence the order selection.
| Version: | 1.0 |
| Depends: | R (≥ 3.3.0), plus, lars |
| Suggests: | MASS |
| Published: | 2018-11-18 |
| Author: | Yaguang Li [aut, cre], Baisuo Jin [aut] |
| Maintainer: | Yaguang Li <liyg at mail.ustc.edu.cn> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | TSMCP results |
| Reference manual: | TSMCP.pdf |
| Package source: | TSMCP_1.0.tar.gz |
| Windows binaries: | r-devel: TSMCP_1.0.zip, r-release: TSMCP_1.0.zip, r-oldrel: TSMCP_1.0.zip |
| macOS binaries: | r-release: TSMCP_1.0.tgz, r-oldrel: TSMCP_1.0.tgz |
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