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https://github.com/ruipgil/changepy
Time series changepoint detection
https://github.com/ruipgil/changepy
changepoint pelt timeseries
Last synced: 3 months ago
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Time series changepoint detection
- Host: GitHub
- URL: https://github.com/ruipgil/changepy
- Owner: ruipgil
- License: mit
- Created: 2016-07-21T17:46:20.000Z (over 8 years ago)
- Default Branch: master
- Last Pushed: 2023-12-06T20:36:46.000Z (about 1 year ago)
- Last Synced: 2024-09-19T18:36:46.853Z (4 months ago)
- Topics: changepoint, pelt, timeseries
- Language: Python
- Size: 12.7 KB
- Stars: 103
- Watchers: 8
- Forks: 28
- Open Issues: 1
-
Metadata Files:
- Readme: README.md
- Changelog: changepy/__init__.py
- License: LICENSE
Awesome Lists containing this project
- awesome-time-series - changepy
README
# changepy
Changepoint detection in time series in pure python
## Install
```
pip install changepy
```
## Examples
```python
>>> 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](./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](https://github.com/STOR-i/Changepoints.jl) and [rkillick cpt package for r](https://github.com/rkillick/changepoint/)
[1]: Killick R, Fearnhead P, Eckley IA (2012) Optimal detection of changepoints with a linear computational cost, JASA 107(500), 1590-1598
## License
[MIT](./LICENSE)