haeran-cho / wcm.gsa

WCM.gSa methodology for change point analysis in the presence of serial dependence

wcm.gsa

Software accompanying

H. Cho and P. Fryzlewicz (2021) "Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm".

• The main routine of WCM.gSa (wcm.gsa) is contained in main.R.
• Codes used for analysing nitrogen oxides concentrations in London (contained in AirQualityData.csv) are provided in air_data.R.
• Codes used for analysing Hadley Centre central England temperature data (contained in hadcet.csv) are provided in temp_data.R.

To use WCM.gSa, do the following:

• Source main.R into R.
• Read the descriptions for wcm.gsa within main.R.

For example,

source("main.R")
set.seed(111)
f <- rep(c(0, 5, 2, 8, 1, -2), c(100, 200, 200, 50, 200, 250))
x <- f + arima.sim(list(ar = c(.75, -.5), ma = c(.8, .7, .6, .5, .4, .3)), n = length(f), sd = 1)
wcm.gsa(x)

If you have any questions, contact [e-mail]