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DESCRIPTION
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DESCRIPTION
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Type: Package
Package: fastcpd
Title: Fast Change Point Detection via Sequential Gradient Descent
Version: 0.14.5
Authors@R: c(
person("Xingchi", "Li", , "anthony.li@stat.tamu.edu",
role = c("aut", "cre", "cph"),
comment = c(ORCID = "0009-0006-2493-0853")),
person("Xianyang", "Zhang", , "zhangxiany@stat.tamu.edu",
role = c("aut", "cph"))
)
Description: Implements fast change point detection algorithm based on the
paper "Sequential Gradient Descent and Quasi-Newton's Method for
Change-Point Analysis" by Xianyang Zhang, Trisha Dawn
<https://proceedings.mlr.press/v206/zhang23b.html>. The algorithm is
based on dynamic programming with pruning and sequential gradient
descent. It is able to detect change points a magnitude faster than
the vanilla Pruned Exact Linear Time(PELT). The package includes
examples of linear regression, logistic regression, Poisson
regression, penalized linear regression data, and whole lot more
examples with custom cost function in case the user wants to use their
own cost function.
License: GPL (>= 3)
URL: https://fastcpd.xingchi.li, https://github.com/doccstat/fastcpd
BugReports: https://github.com/doccstat/fastcpd/issues
Depends:
R (>= 2.10)
Imports:
fastglm,
forecast,
glmnet,
Matrix,
methods,
Rcpp (>= 0.11.0),
stats,
tseries
Suggests:
abind,
dplyr,
ggplot2,
gridExtra,
knitr,
lubridate,
matrixStats,
mockthat,
mvtnorm,
numDeriv,
RcppClock,
reshape2,
rmarkdown,
testthat (>= 3.0.0),
xml2,
zoo
LinkingTo:
progress,
Rcpp,
RcppArmadillo,
RcppClock,
testthat
VignetteBuilder:
knitr
Config/testthat/edition: 3
Config/testthat/parallel: true
Config/testthat/start-first:
vignettes-comparison-pelt,
examples-fastcpd_arima,
examples-fastcpd_ts
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.1