A fast implementation of change point detection algorithm(SST).
Project description
A fast implementation of Singular Spectrum Transformation for python.
Features
fast computation
efficient algorithm using lanczos method
[Numba](http://numba.pydata.org/)
References
Tsuyoshi Ide, Koji Tsuda, Change-Point Detection using Krylov Subspace Learning, SIAM International Conference on Data Mining, pp.515-520, 2007
Tsuyoshi Ide, Speeding up Change-Point Detection using Matrix Compression (Japanse), Workshop on Information-Based Induction Sciences, 2006
Tsuyoshi Ide, Masashi Sugiyama, Anomaly Detection and Change Detection (Japanse), Kodansha, 2015
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