# changepoint - Change point detection for Rust
Changepoint is a library for doing change point detection for streams of data.
## Usage
To use `changepoint`, first add this to your `Cargo.toml`:
```toml
[dependencies]
changepoint = "0.1"
```
## Algorithms
Includes the following change point detection algorithms:
* `BOCPD` -- Online Bayesian Change Point Detection [Reference](https://arxiv.org/pdf/0710.3742.pdf).
## Example
```rust
//! A demo of the online Bayesian change point detection on
//! the 3-month Treasury Bill Secondary Market Rate from
//!
//! After this example is run, the file `trasury_bill.ipynb` can be run to generate
//! plots for this dataset.
//!
//! > Board of Governors of the Federal Reserve System (US), 3-Month Treasury Bill: Secondary
//! > Market Rate [TB3MS], retrieved from FRED, Federal Reserve Bank of St. Louis;
//! > https://fred.stlouisfed.org/series/TB3MS, August 5, 2019.
use changepoint::{constant_hazard, utils, BOCPD};
use rv::prelude::*;
use std::io;
use std::sync::Arc;
fn main() -> io::Result<()> {
// Parse the data from the TB3MS dataset
let data: &str = include_str!("./TB3MS.csv");
let (dates, pct_change): (Vec<&str>, Vec<f64>) = data
.lines()
.skip(1)
.map(|line| {
let split: Vec<&str> = line.splitn(2, ',').collect();
let date = split[0];
let raw_pct = split[1];
(date, raw_pct.parse::<f64>().unwrap())
})
.unzip();
// Create the BOCPD processor
let mut cpd = BOCPD::new(
constant_hazard(250.0),
&Gaussian::standard(),
Arc::new(NormalGamma::new(0.0, 1.0, 1.0, 1E-5).unwrap()),
);
// Feed data into change point detector
let res: Vec<Vec<f64>> = pct_change.iter().map(|d| cpd.step(d)).collect();
// Determine most likely change points
let change_points: Vec<usize> =
utils::most_likely_breaks(&res, utils::ChangePointDetectionMethod::DropThreshold(0.1));
let change_dates: Vec<&str> = change_points.iter().map(|&i| dates[i]).collect();
// Write output for processing my `trasury_bill.ipynb`.
utils::write_data_and_r("treasury_bill_output", &pct_change, &res, &change_points)?;
println!("Most likely dates of changes = {:#?}", change_dates);
Ok(())
}
```
To run this example, from the source root, run `cargo run --example treasury_bill`.
The partner notebook can be used to generate the following plots:
