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: 11 days 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 (about 11 years ago)
- Default Branch: master
- Last Pushed: 2023-08-27T06:23:00.000Z (over 1 year ago)
- Last Synced: 2025-03-09T09:03:04.425Z (about 1 month ago)
- Language: Jupyter Notebook
- Size: 1.42 MB
- Stars: 703
- Watchers: 31
- Forks: 215
- 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
```