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SBRect
View on CRAN: Click
here
Download and install SBRect package within the R console
Install from CRAN:
install.packages("SBRect")
Install from Github:
library("remotes")
install_github("cran/SBRect")
Install by package version:
library("remotes")
install_version("SBRect", "0.26")
Attach the package and use:
library("SBRect")
Maintained by
Paul Fischer
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
First Published: 2014-07-20
Latest Update: 2022-11-20
Description:
The package uses fitting axes-aligned rectangles to a time series in order to find structural breaks. The algorithm enclose the time series in a number of axes-aligned rectangles and tries to minimize their area and number. As these are conflicting aims the user has to specify a parameter alpha in 0.01.0. Values close to 0 result in more breakpoints values close to 1 in fewer. The left edges of the rectangles are the breakpoints. The package supplies two methods computeBreakPointsseriesalpha which returns the indices of the break points and computeRectanglesseriesalpha which returns the rectangles. The algorithm is randomised it uses a genetic algorithm. Therefore the break point sequence found can be different in different executions of the method on the same data especially when used on longer series of some thousand observations. The algorithm uses a range-tree as background data structure which makes i very fast and suited to analyse series with millions of observations. A detailed description can be found in Paul Fischer Astrid Hilbert Fast detection of structural breaks Proceedings of Compstat 2014.
How to cite:
Paul Fischer (2014). SBRect: Detecting structural breaks using rectangle covering
(non-parametric method).. R package version 0.26, https://cran.r-project.org/web/packages/SBRect. Accessed 22 Feb. 2025.
Previous versions and publish date:
0.26 (2014-07-20 21:17)
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