ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data

Understand

There are many different ways in which change point analysis can be performed, from purely parametric methods to those that are distribution free.

• The ecp package is designed to perform multiple change point analysis while making as few assumptions as possible.
• While many other change point methods are applicable only for univariate data, this R package is suitable for both univariate and multivariate observations.
• Estimation can be based upon either a hierarchical divisive or agglomerative algorithm.