postCP change point detection

Background

Change-point detection algorithms are useful for analyzing time series data that exhibit abrupt changes in distribution.

Related work

There are many R packages for multiple change-point detection, but only a few are able to compute error bands (confidence intervals) for change point locations.

paper	package	status	time
Rigaill et al	EBS	too slow	$O(KN^2)$
Luong et al	postCP	buggy	$O(N)$
Frick et al	stepR	code works	near-linear

Last time I checked (25 Nov 2015), CRAN has put the postCP package in the Archive: “Archived on 2014-09-26 as misused .C(DUP = FALSE) and failed its checks on several platforms, including Solaris and Linux under valgrind.”

Coding project: postCP back on CRAN

Start from the most recent version of postCP on CRAN, and make the necessary changes to get it passing checks and back on CRAN.

Writing a vignette and tests for this package would also be nice.

Mentors

Toby Dylan Hocking <[email protected]> wrote this wiki page and could co-mentor since he would be a user of the postCP package. Gregory Nuel [email protected] is listed as a Contact on postCP and any interested students should email him to ask if he wants to be a mentor.

Tests

Do one or several — doing more hard tests makes you more likely to be selected.

• Easy: run example(postCP) and explain why the output is problematic.
• Medium: ??
• Hard: demonstrate that you know how to interface C++ code with R using .C and/or .Call.

Solutions of tests

Students, please post a link to your test results here.