Change point detection in Time series
- Free software: BSD license
- Documentation: https://changepoint.readthedocs.org.
- This package implements a mean shift model for change point detection in time series
- This package also provides a python binding to some of the R functions in the changepoint package to detect change points.
`
import numpy as np
from changepoint.mean_shift_model import MeanShiftModel
ts = np.concatenate([np.random.normal(0, 0.1, 100), np.random.normal(10, 0.1, 100)])
model = MeanShiftModel()
stats_ts, pvals, nums = model.detect_mean_shift(ts, B=1000)
`
- numpy
- scipy
- rpy2
- more_itertools
- joblib
- argpatse
(may have to be independently installed)
- cd changepoint
- pip install -r requirements.txt
- python setup.py install