Change Point Detection for Non-Stationary and Cross-Correlated Time Series

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Documentation for package ‘FluxPoint’ version 0.1.1

• DESCRIPTION file.
• Package NEWS.

Help Pages

add_jumps	Add mean shifts to multivariate time series data
estimatePhinu_nondiag	Estimate non-diagonal VAR(1) parameters after mean removal
estimate_musseg	Estimate fluctuating mean segmentwise given detected change points
estimate_RWVAR_cp_heter	Robust parameter estimation (RPE) for multivariate time series
FluxPoint	FluxPoint change point detection algorithm
FluxPoint_raw	Core change point detection algorithm (given known parameters)
generate_data	Generate multivariate time series from the proposed model
get_metrics	Evaluate change point detection accuracy metrics
get_Sigs	Compute the covariance matrix Sigma_{\mathrm{ALL}}^* for observations within a moving window
get_Sig_e1_approx	Approximate the long-run covariance matrix Gamma_{\boldsymbol{epsilon}}(0)
plot_FluxPoint	Plot multivariate time series with detected change points and estimated means
random_Phi	Randomly generate an autoregressive coefficient matrix Phi
random_Signu	Randomly generate an innovation covariance matrix Sigma_{\boldsymbol{nu}}