R implementation of "FaBiSearch" for change point detection, also available on CRAN at https://CRAN.R-project.org/package=fabisearch
To install and load in R:
install.packages("fabisearch")
library(fabisearch)
A trivial example of the main change point detection function, detect.cps():
set.seed(123)
detect.cps(sim2, rank = 3, mindist = 99, nruns = 2, nreps = 2)
To cite package ‘fabisearch’ in publications use:
Ondrus M, Cribben I (2023). fabisearch: Change Point Detection in High-Dimensional Time Series Networks. R package version 0.0.4.5, https://CRAN.R-project.org/package=fabisearch.
A BibTeX entry for LaTeX users is
@Manual{,
title = {fabisearch: Change Point Detection in High-Dimensional Time Series Networks},
author = {Martin Ondrus and Ivor Cribben},
year = {2023},
note = {R package version 0.0.4.5},
url = {https://CRAN.R-project.org/package=fabisearch},
}