Perfect Simulation for Multiple-changepoint models

AR models

The following files contain R functions for analysing changepoint models which have an AR process within each segment. The order of the AR process is allowed to vary between segments. The files currently comes with no documentation; but see each file for some information about using the functions.

This code is based on work from P Fearnhead (2004) "Exact Bayesian Curve Fitting and Signal Segmentation", IEEE T-SP, 53 2160-2166 [abstract].

Last update: 07 June 2005.