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Implementations in 'cpp' of the BayesProject algorithm (see G. Hahn, P. Fearnhead, I.A. Eckley (2020) doi:10.1007/s11222-020-09966-2) which implements a fast approach to compute a projection direction for multivariate changepoint detection, as well as the sum-cusum and max-cusum methods, and a wild binary segmentation wrapper for all algorithms.
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