Package: nsp 1.0.0

nsp: Inference for Multiple Change-Points in Linear Models

Implementation of Narrowest Significance Pursuit, a general and flexible methodology for automatically detecting localised regions in data sequences which each must contain a change-point (understood as an abrupt change in the parameters of an underlying linear model), at a prescribed global significance level. Narrowest Significance Pursuit works with a wide range of distributional assumptions on the errors, and yields exact desired finite-sample coverage probabilities, regardless of the form or number of the covariates. For details, see P. Fryzlewicz (2021) <https://stats.lse.ac.uk/fryzlewicz/nsp/nsp.pdf>.

Authors:Piotr Fryzlewicz [aut, cre]