markatango / bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.

Bayesian Changepoint Detection

Methods to get the probability of a changepoint in a time series. Both online and offline methods are available. Read the following papers to really understand the methods:

[1] Paul Fearnhead, Exact and Efficient Bayesian Inference for Multiple
Changepoint problems, Statistics and computing 16.2 (2006), pp. 203--213

[2] Ryan P. Adams, David J.C. MacKay, Bayesian Online Changepoint Detection,
arXiv 0710.3742 (2007)

[3] Xuan Xiang, Kevin Murphy, Modeling Changing Dependency Structure in
Multivariate Time Series, ICML (2007), pp. 1055--1062

To see it in action have a look at the example notebook.