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Main function

All implementation of fastcpd is unified into one single function fastcpd().

fastcpd()
Find change points efficiently

Wrapper functions

Simplified functions are provided for each family.

Time series

fastcpd.ts() and fastcpd_ts() are the main functions for time series data.

fastcpd.ar() fastcpd_ar()
Find change points efficiently in AR(p) models
fastcpd.arima() fastcpd_arima()
Find change points efficiently in ARIMA(p, d, q) models
fastcpd.arma() fastcpd_arma()
Find change points efficiently in ARMA(p, q) models
fastcpd.garch() fastcpd_garch()
Find change points efficiently in GARCH(p, q) models
fastcpd.ma() fastcpd_ma()
Find change points efficiently in MA(q) models
fastcpd.ts() fastcpd_ts()
Find change points efficiently in time series data
fastcpd.var() fastcpd_var()
Find change points efficiently in VAR(p) models

Unlabeled data

Used for data without response variables, for example, mean change and variance change.

fastcpd.mean() fastcpd_mean()
Find change points efficiently in mean change models
fastcpd.variance() fastcpd_variance()
Find change points efficiently in variance change models
fastcpd.meanvariance() fastcpd_meanvariance() fastcpd.mv() fastcpd_mv()
Find change points efficiently in variance change models

Regression data

Detect change points in the coefficients of regression-type data.

fastcpd.binomial() fastcpd_binomial()
Find change points efficiently in logistic regression models
fastcpd.lasso() fastcpd_lasso()
Find change points efficiently in penalized linear regression models
fastcpd.lm() fastcpd_lm()
Find change points efficiently in linear regression models
fastcpd.poisson() fastcpd_poisson()
Find change points efficiently in Poisson regression models

Utility functions

The following functions help with visualization and analyzation of the data.

plot(<fastcpd>) plot(<fastcpd>,<missing>)
Plot the data and the change points for a fastcpd object
print(<fastcpd>) print(<fastcpd>)
Print the call and the change points for a fastcpd object
show(<fastcpd>) show(<fastcpd>)
Show the available methods for a fastcpd object
summary(<fastcpd>) summary(<fastcpd>)
Show the summary of a fastcpd object

Data

fastcpd comes with a selection of built-in datasets that are used in examples to illustrate various change point detection challenges.

bitcoin
Bitcoin Market Price (USD)
occupancy
Occupancy Detection Data Set
transcriptome
Transcription Profiling of 57 Human Bladder Carcinoma Samples
uk_seatbelts
UK Seatbelts Data
well_log
Well-log Dataset from Numerical Bayesian Methods Applied to Signal Processing

Main class

The results of fastcpd() will be stored in the class fastcpd with accompanied several utility functions.

fastcpd-class
An S4 class to store the output created with fastcpd