fastcpd

What is fastcpd?

fastcpd is a Python package for fast change point detection in multivariate time series data. It provides efficient algorithms to identify points in time where the statistical properties of a sequence of observations change.

Quickstart

import fastcpd.segmentation
from numpy import concatenate
from numpy.random import normal, multivariate_normal
covariance_mat = [[100, 0, 0], [0, 100, 0], [0, 0, 100]]
data = concatenate((multivariate_normal([0, 0, 0], covariance_mat, 300),
                    multivariate_normal([50, 50, 50], covariance_mat, 400),
                    multivariate_normal([2, 2, 2], covariance_mat, 300)))
fastcpd.segmentation.mean(data)

View Source

 1r"""
 2# What is fastcpd?
 3
 4fastcpd is a Python package for fast change point detection in multivariate
 5time series data. It provides efficient algorithms to identify points in time
 6where the statistical properties of a sequence of observations change.
 7
 8# Quickstart
 9
10``` python
11import fastcpd.segmentation
12from numpy import concatenate
13from numpy.random import normal, multivariate_normal
14covariance_mat = [[100, 0, 0], [0, 100, 0], [0, 0, 100]]
15data = concatenate((multivariate_normal([0, 0, 0], covariance_mat, 300),
16                    multivariate_normal([50, 50, 50], covariance_mat, 400),
17                    multivariate_normal([2, 2, 2], covariance_mat, 300)))
18fastcpd.segmentation.mean(data)
19```
20
21"""
22
23__version__ = "0.18.0"