conceptor CP is a package of tools to identify a change point in time-ordered multivariate and dependent data. Estimates of significance are obtained with a moving block bootstrap, and the assumption is an initial section of data at least wide-sense stationary, or it does not exhibit some long run trend.
Package includes one example VAR1 data set, test_data. Description of its generation is included in the documentation files.
@article{HHJ1995, author = {HALL, PETER and HOROWITZ, JOEL L. and JING, BING-YI}, title = "{On blocking rules for the bootstrap with dependent data}", journal = {Biometrika}, volume = {82}, number = {3}, pages = {561-574}, year = {1995}, month = {09}, issn = {0006-3444}, doi = {10.1093/biomet/82.3.561} }
Install via CRAN:
install.packages("conceptorCP")
library(conceptorCP)