Crate augurs_changepoint 

Changepoint detection models

Changepoint detection of time series.

For now it is mostly just a wrapper around the changepoint crate, with a common Detector trait to allow for more implementations in future.

Example

use augurs::changepoint::{Detector, DefaultArgpcpDetector};

let data = [0.5, 1.0, 0.4, 0.8, 1.5, 0.9, 0.6, 25.3, 20.4, 27.3, 30.0];
let changepoints = DefaultArgpcpDetector::default().detect_changepoints(&data);
// 0 is always included. 6 is the index prior to the changepoint.
assert_eq!(changepoints, vec![0, 6]);

Credits

The bulk of the actual work is done by the changepoint crate.

Modules

dist

Probability distributions

kernel

Gaussian Processes

Structs

ArgpcpDetector

A changepoint detector using autoregressive Gaussian Processes.

BocpdDetector

A changepoint detector using Bayesian Online Changepoint Detection.

DefaultArgpcpDetectorBuilder

Builder for a DefaultArgpcpDetector.

Traits

Detector

Trait implemented by changepoint detectors.

Type Aliases

DefaultArgpcpDetector

An ArgpcpDetector with a sensible default choice of kernel.

NormalGammaDetector

A BocpdDetector for Normal data with a Normal Gamma prior.

NormalInvGammaDetector

A BocpdDetector for Normal data with a Normal inverse-Gamma prior.