https://github.com/hildensia/bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.
https://github.com/hildensia/bayesian_changepoint_detection

Last synced: 3 months ago
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Methods to get the probability of a changepoint in a time series.

• Host: GitHub
• URL: https://github.com/hildensia/bayesian_changepoint_detection
• Owner: hildensia
• License: mit
• Created: 2014-04-11T08:29:58.000Z (almost 11 years ago)
• Default Branch: master
• Last Pushed: 2023-08-27T06:23:00.000Z (over 1 year ago)
• Last Synced: 2024-10-02T02:53:09.423Z (4 months ago)
• Language: Jupyter Notebook
• Size: 1.42 MB
• Stars: 672
• Watchers: 31
• Forks: 212
• Open Issues: 13
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

• awesome-time-series - bayesian_changepoint_detection

README

        


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](https://github.com/hildensia/bayesian_changepoint_detection/blob/master/Example_Code.ipynb "Example Code in an IPython Notebook").

# To install:

```bash

# Enter a directory of your choice, activate your python virtual environment.

git clone https://github.com/hildensia/bayesian_changepoint_detection.git

cd bayesian_changepoint_detection

pip install .

# Now can use bayesian_changepoint_detection in python.

```

---

Or using pip - older version of this package, that doesn't work with python3:

```bash

pip install bayesian-changepoint-detection

```