Skip to content
Time series changepoint detection
Branch: master
Clone or download
Latest commit 95a903a Apr 19, 2017
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
changepy Update costs.py Mar 30, 2017
.gitignore Initial commit Jul 21, 2016
LICENSE
README.md
setup.cfg Add setup.cfg and readme Jul 21, 2016
setup.py Release 0.3.1 Apr 18, 2017
test_pelt.py Add cost functions for exponential and poisson distributed data Jan 17, 2017

README.md

changepy

Changepoint detection in time series in pure python

Install

pip install changepy

Examples

    >>> from changepy import pelt
    >>> from changepy.costs import normal_mean
    >>> size = 100

    >>> mean_a = 0.0
    >>> mean_b = 10.0
    >>> var = 0.1

    >>> data_a = np.random.normal(mean_a, var, size)
    >>> data_b = np.random.normal(mean_b, var, size)
    >>> data = np.append(data_a, data_b)

    >>> pelt(normal_mean(data, var), len(data))
    [0, 100] # since data is random, sometimes it might be different, but most of the time there will be at most a couple more values around 100

For more examples see pelt_test.py

Reference

Currently there is only one algorithm for changepoint evaluation, the PELT algorithm [1].

The PELT algorithm requires a cost function. Currently there are three functions available through this library. However, you could implement your own, for your specific needs. Those functions are:

  • normal_mean, which expects normal distributed data, with changing mean
  • normal_var, which expects normal distributed data, with changing variance
  • normal_meanvar, which expects normal distributed data, with changing mean and variance
  • poisson, which expect poisson distributed data, with changing mean
  • exponential, which expect exponential distributed data, with changing mean

Test with python test_pelt.py

Other implementations

This is mostly a port from other libraries, most of all from STOR-i's changepoint package for julia and rkillick cpt package for r

[1]: Killick R, Fearnhead P, Eckley IA (2012) Optimal detection of changepoints with a linear computational cost, JASA 107(500), 1590-1598

License

MIT

You can’t perform that action at this time.