The Multiple Filter Test for Change Point Detection
Overview
Provides statistical tests and algorithms for the detection of change points in time series and point processes - particularly for changes in the mean in time series and for changes in the rate and in the variance in point processes. References - Michael Messer, Marietta Kirchner, Julia Schiemann, Jochen Roeper, Ralph Neininger and Gaby Schneider (2014), A multiple filter test for the detection of rate changes in renewal processes with varying variance doi:10.1214/14-AOAS782. Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper, Gaby Schneider (2017), Multi-scale detection of variance changes in renewal processes in the presence of rate change points doi:10.1111/jtsa.12254. Michael Messer, Kaue M. Costa, Jochen Roeper and Gaby Schneider (2017), Multi-scale detection of rate changes in spike trains with weak dependencies doi:10.1007/s10827-016-0635-3. Michael Messer, Stefan Albert and Gaby Schneider (2018), The multiple filter test for change point detection in time series doi:10.1007/s00184-018-0672-1. Michael Messer, Hendrik Backhaus, Albrecht Stroh and Gaby Schneider (2020) A multi-scale approach for testing and detecting peaks in time series doi:10.1080/02331888.2020.1823980.
Install
Health
- OK13 OKNow
- OK5 OK2026-09-16
- NOTE12 OK, 2 NOTE2026-03-10
Documentation
- Help pages
- 8
- Examples that run
- 100%8 run in a plain check
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 100%
Downloads
Dependencies
Installing MFT adds no packages beyond those that come with R.
Code & Tests
People & History
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- unarchivedReturned to CRAN2026-09-16
- 3.1Latest
- archivedRemoved from CRAN2026-05-06email to the maintainer is undeliverable
- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- RR 4.1.0 released · 2021-05-18
- RR 4.0.0 released · 2020-04-24
- RR 3.6.0 released · 2019-04-26
- 2.0
- RR 3.5.0 released · 2018-04-23
- 1.32017-09-15
- RR 3.4.0 released · 2017-04-21
Package metadata
- First published
- 2017-09-15
- Total releases
- 3 / 9 yrs
- License
- GPL-3 OSI
- Download size
- 32 KB
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