FASeg: Joint Segmentation of Correlated Time Series
Xavier Collilieux, Emilie Lebarbier and Stephane Robin · 2018
It contains a function designed to the joint segmentation in the mean of several correlated series. The method is described in the paper X. Collilieux, E. Lebarbier and S. Robin. A factor model approach for the joint segmentation with between-series correlation (2015) .