Fast Change Point Detection

Documentation: x2r.io

Python and standalone C++ sources are published separately in fastcpd-py and fastcpd-cpp.

Installation

# install.packages("pak")
pak::pak("doccstat/fastcpd-r")
# or install from CRAN
install.packages("fastcpd")

# Install the Python package from PyPI
pip install fastcpd

Comparison

set.seed(1)
n <- 10^8
mean_data <- c(rnorm(n / 2, 0, 1), rnorm(n / 2, 50, 1))
print(run_isolated(fastcpd::detect_mean(mean_data, cp_only = TRUE, variance_estimation = 1)))
#>    user  system elapsed 
#>   6.938   5.040  11.779
print(run_isolated(mosum::mosum(c(mean_data), G = 40)))
#>    user  system elapsed 
#>   9.034   6.854  15.964
print(run_isolated(changepoint::cpt.mean(mean_data, method = "PELT")))
#>    user  system elapsed 
#>  31.515   6.507  38.127
print(run_isolated(fpop::Fpop(mean_data, 2 * log(n))))
#>    user  system elapsed 
#>  44.527   2.978  47.632

References

• fastcpd: Fast Change Point Detection in R
• Sequential Gradient Descent and Quasi-Newton’s Method for Change-Point Analysis

FAQ

I countered problems related to gfortran on Mac OSX or Linux!

The package should be able to install on Mac and any Linux distribution without any problems if all the dependencies are installed. However, if you encountered problems related to gfortran, it might be because RcppArmadillo is not installed previously. Try Mac OSX stackoverflow solution or Linux stackover solution if you have trouble installing RcppArmadillo.

We welcome contributions from everyone. Please follow the instructions below to make contributions.

1. Fork the repo.

2. Create a new branch from main branch.

3. Make changes and commit them.

   1. Please follow the Google’s R style guide for naming variables and functions.
   2. If you are adding a new family of models with new cost functions with corresponding gradient and Hessian, please add them to src/fastcpd_class_cost.cc with proper example and tests in vignettes/gallery.Rmd and tests/testthat/test-gallery.R.
   3. Add the family name to src/fastcpd_constants.h.
   4. [Recommended] Add a new wrapper function in R/fastcpd_wrappers.R for the new family of models and move the examples to the new wrapper function as roxygen examples.
   5. Add the new wrapper function to the corresponding section in _pkgdown.yml.

4. Push the changes to your fork.

5. Create a pull request.

6. Make sure the pull request does not create new warnings or errors in devtools::check().

Trouble installing Python package.

Python headers are required to install the Python package. If you are using Ubuntu, you can install the headers with:

sudo apt install python3-dev

Encountered a bug or unintended behavior?

1. File a ticket at GitHub Issues.
2. Contact the authors specified in DESCRIPTION.