Library / A Computationally Efficient Nonparametric Approach for Changepoint Detection


ED-PELT — one of my favorite change point detection algorithms.

Reference

Kaylea Haynes, Paul Fearnhead, Idris A. Eckley “A computationally efficient nonparametric approach for changepoint detection” (2016) // Statistics and Computing. Publisher: Springer Science and Business Media LLC. Vol. 27. No 5. Pp. 1293–1305. DOI: 10.1007/s11222-016-9687-5

Bib

@Article{haynes2016,
  title = {A computationally efficient nonparametric approach for changepoint detection},
  volume = {27},
  issn = {1573-1375},
  url = {http://dx.doi.org/10.1007/s11222-016-9687-5},
  doi = {10.1007/s11222-016-9687-5},
  number = {5},
  journal = {Statistics and Computing},
  publisher = {Springer Science and Business Media LLC},
  author = {Haynes, Kaylea and Fearnhead, Paul and Eckley, Idris A.},
  year = {2016},
  month = {jul},
  pages = {1293–1305}
}

  1. Implementation of an efficient algorithm for changepoint detection: ED-PELT (2019-10-07) 1 2 Mathematics Statistics
  2. Hunter (2023) by Matt Fleming et al. Has notes 1 3