swMATH ID: 26719
Software Authors: Leland Bybee
Description: R package changepointsHD: Change-Point Estimation for Expensive and High-Dimensional Models. This implements the methods developed in, L. Bybee and Y. Atchade. (2017) <arXiv:1707.04306>. Contains a series of methods for estimating change-points given user specified black-box models. The methods include binary segmentation for multiple change-point estimation. For estimating each individual change-point the package includes simulated annealing, brute force, and, for Gaussian graphical models, an application specific rank-one update implementation. Additionally, code for estimating Gaussian graphical models is included. The goal of this package is to allow for the efficient estimation of change-points in complicated models with high dimensional data.
Homepage: https://cran.r-project.org/web/packages/changepointsHD/index.html
Source Code:  https://github.com/cran/changepointsHD
Dependencies: R
Related Software: wbs
Cited in: 1 Publication

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1 Bybee, Leland

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