FASeg

Joint Segmentation of Correlated Time Series

It contains a function designed to the joint segmentation in the mean of several correlated series. The method is described in the paper X. Collilieux, E. Lebarbier and S. Robin. A factor model approach for the joint segmentation with between-series correlation (2015) <arXiv:1505.05660>.

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Description file content

Package
FASeg
Type
Package
Title
Joint Segmentation of Correlated Time Series
Version
0.1.9
Date
2018-03-09
Author
Xavier Collilieux, Emilie Lebarbier and Stephane Robin
Maintainer
Emilie Lebarbier
Description
It contains a function designed to the joint segmentation in the mean of several correlated series. The method is described in the paper X. Collilieux, E. Lebarbier and S. Robin. A factor model approach for the joint segmentation with between-series correlation (2015) .
License
GPL-2
Depends
R (>= 2.10)
NeedsCompilation
no
Packaged
2018-03-09 13:49:27 UTC; lebarbier
Repository
CRAN
Date/Publication
2018-03-09 12:59:37 UTC

install.packages('FASeg')

0.1.9

6 months ago

Emilie Lebarbier

GPL-2

Depends on

R (>= 2.10)

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