This MATLAB toolbox implements the algorithm as described in the following papers:

H. Yu and J. Dauwels, “Modeling Functional Networks via Piecewise-Stationary Graphical Models,” in Signal Processing and Machine Learning for Biomedical Big Data, CRC Press, 2018.

H. Yu, C. Li, J. Dauwels, “Network Inference and Change Point Detection for Piecewise-Stationary Time Series”, in Proceedings of the IEEE 39th International Conference on Acoustics, Speech, and Signal Processing (ICASSP), 2014.

Please check the examples in the scripts example_wo_hiddenvariables.m and example_w_hiddenvariables.m.

To test your own datasets, please replace the matrix XDat in the above examples by your own data. Note that XDat is a n x p matrix, where n is the length of the time series and p is the number of variables.