mcp: An R Package for Regression With Multiple Change Points

The R package mcp does flexible and informed Bayesian regression with change points. mcp can inferthe location of changes between regression models on means, variances, autocorrelation structure, andany combination of these. Prior and posterior samples and summaries are returned for all parameters anda rich set of plotting options is available. Bayes Factors can be computed via Savage-Dickey density ratioand posterior contrasts. Cross-validation can be used for more general model comparison. mcp ships withsensible defaults, including priors, but the user can override them to get finer control of the models and out-puts. The strengths and limitations of mcp are discussed in relation to existing change point packages in R.