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Change point detection in Time series

Project description

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Change point detection in Time series

Features

  • 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.

Example Usage

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)

Requirements

  • numpy
  • scipy
  • rpy2
  • more_itertools
  • joblib
  • argpatse

(may have to be independently installed)

Installation

  1. cd changepoint
  2. pip install -r requirements.txt
  3. python setup.py install

History

0.1.0 (2015-02-20)

  • First release on PyPI.

Project details


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