[R] changepoint analysis

[Jim Lindsey]

> 
> Hi, all,
>     I'd like to find one or more  changepoints in a dataset
> eg
> for data like  
> 0.9  1  0.8   0.8  0.85  0.3  0.9  0.9 0.9 1.1
> 
> 0.3 is unlikely a changepoint
> 
> but for data like
> 0.9  1  0.8   0.8  0.85  0.3  0.2 0.2 0.1 0.2 0.3
> 0.3 is a change point
> 
>   I am wondering is there any function can do changepoint analysis?  

Two possible approaches are:
1. use a two-state hidden Markov model (for example, using the
function hidden in my repeated library) or
2. write a nonlinear regression function with the changepoint as a
parameter (using virtually any of the functions in any of my libraries
because almost all handle nonlinear regression) but, because of the
discontinuity, it is best to iterate through a series of possible
values of the changepoint and choose the best log likelihoods.
  libraries at www.luc.ac.be/~jlindsey/rcode.html
  Jim
> 
> 
> Ying Fan
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