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Changelog

Source: NEWS.md

fastcpd 0.19.0

  • Relicense from GPL-3.0 to Apache 2.0.

fastcpd 0.18.0

  • Release wheel for Python on Linux and macOS.

fastcpd 0.17.0

  • Introduce Python version.

fastcpd 0.16.3

  • Move fastcpd to the top in the README.

fastcpd 0.16.2

CRAN release: 2025-04-25

  • Remove natural language support.
  • Update mean variance cost function.
  • Use larger default trim value.

fastcpd 0.16.1

CRAN release: 2025-03-20

  • Skip tests on CRAN.

fastcpd 0.16.0

CRAN release: 2025-03-13

  • Performance improvement.
  • Less package dependencies.

fastcpd 0.15.0

  • Remove constants.
  • Add parameter variance_estimation allowing users to specify the variance or covariance matrix if known.

fastcpd 0.14.7

  • Simplify methods initialization.

fastcpd 0.14.6

CRAN release: 2024-11-05

  • Update package comparison and remove packages breaking seed setting.

fastcpd 0.14.5

  • Add pre-compiled vignettes.

fastcpd 0.14.4

  • Simplify code.
  • Expose fastcpd_impl API for use in other packages.

fastcpd 0.14.3

CRAN release: 2024-04-26

  • Skip certain tests on CRAN.

fastcpd 0.14.2

  • Fix CRAN noSuggests error.

fastcpd 0.14.1

CRAN release: 2024-04-18

  • Fix possible numeric issues on CRAN breaking updates of other packages.

fastcpd 0.14.0

CRAN release: 2024-04-16

  • Correct mBIC.
  • Add citation.

fastcpd 0.13.2

  • Remove package check in examples.
  • Use proper pruning coefficients for MBIC and MDL.
  • Make residuals matrices.
  • Use preprocess for faster mean change detection.
  • Update examples demonstrating faster mean change.
  • Replace comparison packages in vignettes with strange dependencies with results and eval = FALSE.

fastcpd 0.13.1

CRAN release: 2024-04-01

fastcpd 0.13.0

  • Update all documentations.

fastcpd 0.12.4

  • Customizable and pretty plots.

fastcpd 0.12.3

  • Remove pruning parameter and replace with convexity_coef = -Inf.

fastcpd 0.12.2

CRAN release: 2024-03-19

  • Update vignettes.

fastcpd 0.12.1

CRAN release: 2024-03-12

  • Remove useless C++ codes.
  • Add more debug points in C++.
  • Add more examples for data well_log.
  • Add detection comparison for well_log data.
  • Add a variance estimator for median change.
  • Deprecate winsorize_minval and winsorize_maxval.

fastcpd 0.12.0

  • Add Rice estimation for ARMA model variance estimation.
  • Add time comparison using Well-log data in vignettes.

fastcpd 0.11.3

  • Add Rice estimator for mean change variance estimation.

fastcpd 0.11.2

  • Export variance estimator function for linear models.

fastcpd 0.11.1

  • Add package comparison with CptNonPar, gfpop, InspectChangepoint, jointseg, Rbeast and VARDetect.

fastcpd 0.11.0

  • Note: From now on, MBIC is used as the default penalty selection for beta parameter.

  • Add penalty selection criteria using

    1. BIC: (p + 1) * log(nrow(data)) / 2
    2. Modified BIC: (p + 2) * log(nrow(data)) / 2 with adjusted cost function.
    3. MDL: (p + 2) * log(nrow(data)) / 2 with adjusted cost function.

    In the mean time, a numeric value can be passed to beta as well to explicitly specify the penalty for BIC.

fastcpd 0.10.3

CRAN release: 2024-01-24

  • Add package check in examples and tests.

fastcpd 0.10.2

  • Remove bcp according to

    Package ‘bcp’ was removed from the CRAN repository.

Formerly available versions can be obtained from the archive.

Archived on 2024-01-12 as email to the maintainer is undeliverable.

A summary of the most recent check results can be obtained from the check results archive.

Please use the canonical form https://CRAN.R-project.org/package=bcp to link to this page.

fastcpd 0.10.1

CRAN release: 2024-01-09

  • Increase test coverage.
  • Use interactive() to check if the current R session is interactive.

fastcpd 0.10.0

CRAN release: 2023-12-21

  • Add package comparison with other packages.

fastcpd 0.9.9

CRAN release: 2023-12-11

  • Add small shiny app.

fastcpd 0.9.8

  • Preliminary support for ARMA(p, q) model with parameter order = c(p, q) and family "arma".
  • Add fastcpd.arma / fastcpd_arma for ARMA(p, q) model.
  • Add adaptive increasing beta values.

fastcpd 0.9.7

  • Add lower and upper parameters to denote the lower and upper bounds of the parameters.
  • Add line search.
  • Add hardcoded ARMA(3, 2).

fastcpd 0.9.6

  • Add bitcoin and well_log data.
  • Add residual calculation for mean family.
  • Add plots for bitcoin data.
  • Fix residual calculation for time series data when the seegments are too small.
  • Handle variance estimation errors.

fastcpd 0.9.5

  • Add wrapper functions of AR(p) family: fastcpd.ar / fastcpd_ar, ARIMA(p, d, q) family: fastcpd.arima / fastcpd_arima, GARCH(p, q) family: fastcpd.garch / fastcpd_garch, linear regression family: fastcpd.lm / fastcpd_lm, logistic regression family: fastcpd.binomial / fastcpd_binomial, poisson regression family: fastcpd.poisson / fastcpd_poisson, penalized linear regression family: fastcpd.lasso / fastcpd_lasso, MA(q) model: fastcpd.ma / fastcpd_ma, mean change: fastcpd.mean / fastcpd_mean, variance change: fastcpd.variance / fastcpd_variance, mean or variance change: fastcpd.meanvariance / fastcpd_meanvariance / fastcpd.mv / fastcpd_mv.
  • Replace "gaussian" family with "lm".
  • Add progress bar.
  • Fix design matrix from formula bug.

fastcpd 0.9.4

  • Fix sanity check.
  • Add small AR(1) data in gallery.
  • Fix VAR(p) model bug.
  • Add VAR(2) example in Gallery.
  • Remove commented code.

fastcpd 0.9.3

  • Deprecate “vanilla” family by vanilla_percentage parameter.
  • Add check utility functions.
  • Add MA(4) example.
  • Fix the bug when beta is updated but the old beta is still in use.
  • Remove tests estimating the variance in the “gaussian” family dynamically.
  • Merge beta updating into get_segment_statistics.

fastcpd 0.9.2

  • Add gallery to vignettes.
  • Remove cheatsheets pdf from the package.
  • Use forecast package for ARIMA model.
  • Use fGarch package for GARCH model.

fastcpd 0.9.1

  • Wrap && around || by parentheses.
  • Add ma(4) example using custom cost function.
  • Add full support for AR(p), MA(q) and ARIMA(p, d, q) models.

fastcpd 0.9.0

CRAN release: 2023-10-19

  • Submit for CRAN update.

fastcpd 0.8.4

  • Add cheatsheets.
  • Refactor code and utilize the cost_function_wrapper.
  • Optimize warm start.

fastcpd 0.8.3

  • Add fastcpd.ts / fastcpd_ts for time series data.
  • Fix pre segmengation bug for lasso.
  • Fix bug related to vanilla_percentage parameter for lasso.
  • Add tests with invalid family for fastcpd.ts.
  • Remove the cp_only = TRUE default when the family is “custom”.
  • Improved plotting for “ar” and “var” families.
  • Add test coverage for cp_only = TRUE and fastcpd_ts.
  • Increase test coverage.
  • Provide user selection when ggplot2 is not installed.

fastcpd 0.8.2

  • Add cheatsheets WIP.
  • Add smaller examples test for penalized linear regression.

fastcpd 0.8.1

  • Add new “ar” family for autoregressive models.
  • Add new “var” family for vector autoregressive models.

fastcpd 0.8.0

  • Deal with the following:

    Due to the excessive calls to `glmnet` between R and C++,
it is better to use the R implementation of `fastcpd` for lasso.

  • Separate the use of internal C++ cost functions and user-defined R cost functions.

  • Add Codecov Icicle plot in README.

  • Remove cost_optim and cost_update from RcppExports.R.

  • Estimate the variance in the “gaussian” family dynamically.

fastcpd 0.7.6

  • Move default cost functions definition inside the fastcpd definition.
  • Define constant unordered set to store the family sets.
  • Avoid using length(formals(cost)) to check the number of arguments of cost function.
  • Introduce an internal family “vanilla”.

fastcpd 0.7.5

  • Add variance estimation example in linear regression.
  • Update reference page.
  • Add validation for family.
  • Add user selection when ggplot2 is not installed.
  • Add AR(1) using forecast example in the tests.

fastcpd 0.7.4

  • Update website UI.
  • Update fastcpd documentation.

fastcpd 0.7.3

  • Allow multiple response variables in the formula.
  • Add fastcpd logo to README.

fastcpd 0.7.2

CRAN release: 2023-09-23

  • Add suggested package checking in tests.

  • Try to solve the amazing clang-ASAN error on CRAN:

    Error in dyn.load(file, DLLpath = DLLpath, ...) :
  unable to load shared object '/data/gannet/ripley/R/test-clang/mvtnorm/libs/mvtnorm.so':
  /data/gannet/ripley/R/test-clang/mvtnorm/libs/mvtnorm.so: undefined symbol: _ZNK7Fortran7runtime10Terminator5CrashEPKcz
Calls: <Anonymous> ... asNamespace -> loadNamespace -> library.dynam -> dyn.load

fastcpd 0.7.1

  • Add package citation.

fastcpd 0.7.0

CRAN release: 2023-09-21

  • Remove C++ unit tests using catch and commented out the code since the new version of development version of Rcpp is not yet available on CRAN. Related pull request: https://github.com/RcppCore/Rcpp/pull/1274.
  • Add more documentation for fastcpd method.

fastcpd 0.6.5

  • Add more experiments.

fastcpd 0.6.4

  • Check warning messages in tests.
  • Further encapsulation of all FastcpdParameters members.

fastcpd 0.6.3

  • Add CRAN release badge.

fastcpd 0.6.2

CRAN release: 2023-09-14

  • Address CRAN comments.
  • Add more experiments.

fastcpd 0.6.1

  • Address CRAN comments.

fastcpd 0.6.0

  • Submit for CRAN release.

fastcpd 0.5.7

  • Fix loss function for custom mean or variance change.

fastcpd 0.5.6

  • Add stargazers in README.

fastcpd 0.5.5

  • Add example and test for multivariate mean shift.
  • Add example and test for multivariate variance change.
  • Add example and test for multivariate mean and variance change.
  • Add test for linear regression with multi-dimensional responses.

fastcpd 0.5.4

  • Fix bug when no change point is detected.

fastcpd 0.5.3

  • Add more experiments but commented out for the sake of test time without affecting the test coverage.
  • Add examples in README.
  • Add CRAN manual using R CMD Rd2pdf . --output=man/figures/manual.pdf --force --no-preview from stackoverflow.
  • Add example for multiple epochs using custom cost functions.
  • Add table of contents to README.

fastcpd 0.5.2

  • Add one-dimensional linear regression example with plot.

fastcpd 0.5.1

  • Prepare for CRAN release.

fastcpd 0.5.0

  • Rewrite the whole package in C++ except LASSO due to the excessive calls between R and C++ of glmnet.

fastcpd 0.4.0

  • Add the transition from vanilla PELT to SeN by using vanilla_percentage parameter.

fastcpd 0.3.3

  • Merge the implementation of vanilla PELT and SeN.
  • Encapsulate the implementation of binding new coefficients into the previous coefficients.
  • Rewrite fastcpd parameters updating in C++.

fastcpd 0.3.2

  • Integrate initialization and update for theta_hat, theta_sum and hessian.
  • Combine theta estimation into a single function.
  • Add a parameter vanilla_percentage to denote the method switching between vanilla PETL and SeN.
  • Add more documentation to cp_only parameter.
  • Add preparation for merging vanilla PELT with SeN.

fastcpd 0.3.1

  • Add examples as tests for fastcpd.
  • Rearrange C++ functions.
  • Add more precondition check.

fastcpd 0.3.0

  • Bump test coverage for class methods of fastcpd.

fastcpd 0.2.9

  • Fix Poisson regression bug related to lfactorial.

fastcpd 0.2.8

  • Make penalized linear regression estimated coefficients output sparse.

fastcpd 0.2.7

  • Fix mean change example bug.
  • Update documentation to redirect README to pkgdown generated webpage.
  • Add contact methods and ways to file a ticket.

fastcpd 0.2.6

  • Add C++ sanity check for Logistic regression data, i.e. binomial family.
  • Add examples as tests for fastcpd.
  • Rename C++ source files to follow Unix convention.
  • Update documentation link in README.

fastcpd 0.2.5

  • Hide internal functions from the documentation.
  • Export fastcpd class.

fastcpd 0.2.4

  • Add column name for thetas slot in fastcpd class.
  • Fix plot where residuals and responses appear in the same plot.
  • Default cp_only to FALSE.
  • Remove residuals from summary method.

fastcpd 0.2.3

  • Add missing examples for linear regression and LASSO.

fastcpd 0.2.2

  • Add more examples to illustrate the use of the fastcpd function.
  • Indicating internal functions so that the users should not use them.

fastcpd 0.2.1

  • Add more examples to the README.

fastcpd 0.2.0

  • Added a NEWS.md file to track changes to the package.