smoothbp

Fits smoothed hierarchical piecewise regression with multiple change-points using an optimised Metropolis-within-Gibbs sampler implemented in Rust.

Features

• Multi-Breakpoint Models: Support for an arbitrary number of change-points.
• Spike-and-Slab Regularization: Automatic selection of the number of breakpoints using smoothbp_ss().
• Flexible Predictors: Change-point locations (omega), slope changes (delta), and transition sharpness (rho) can all be conditioned on covariates.
• Hierarchical Structure: Random intercepts for all parameters.
• High Performance: Core MCMC engine written in Rust.

Installation

# Requires Rtools45 on Windows for Rust compilation
pak::pkg_install("ABindoff/smoothbp")