Sequentially Discounting Autoregressive time series model and change point detection schemes.
Software for algorithms presented in "A unifying framework for detecting outliers and change points from time series" Takeuchi and Yamanishi, 2006.
Includes the Sequentially Discounting Autoregressive (SDAR) time series model - an online batch AR model for estimating the parameters of a Gaussian distribution; and an outlier and change point detection scheme introduced in the article.