CptNonPar: Nonparametric Change Point Detection for Multivariate Time Series
Euan T. McGonigle, Haeran Cho · 2023
Implements the nonparametric moving sum procedure for detecting changes in the joint characteristic function (NP-MOJO) for multiple change point detection in multivariate time series. See McGonigle, E. T., Cho, H. (2025) for description of the NP-MOJO methodology.