This project cointains all the code that we used for a Bayesian project named "on a bayesian change point detection model for multivariate data", which tackles the problem of change point detection in multivariate time series using a Bayesian approach.
The work and the results are explained deeply in the Report.pdf file.
functions.R file contains all the auxiliary functions needed for the algorithm. *_parameters.R files cointain all the parameters used for a specific experiment *
there are 3 *_main.R files, each of them cointains our analysis on a specific topic, using our algorithm. In each of those, we load all functions and parameters.
the data folder contains all the datasets used in our analysis.
All the code is commented for a easier read.