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Changepoint Detection (Killick et al. 2012)
Source: Killick, R., Fearnhead, P., & Eckley, I. A. (2012). “Optimal Detection of Changepoints with a Linear Computational Cost.” Journal of the American Statistical Association, 107(500), 1590-1598.
Implementation of the Pruned Exact Linear Time (PELT) algorithm for exact segmentation. PELT identifies change points by minimizing a cost function over all possible partitions.
Structs§
- PELT
- A PELT changepoint detector.