bocd

Bayesian Online Changepoint Detection in Python.

Introduction

The algorithm is based on the following paper

Adams, Ryan Prescott, and David JC MacKay. "Bayesian online changepoint detection." arXiv preprint arXiv:0710.3742 (2007).

Examples

Example jupyter notebooks are located here

Installation

$ pip install bocd

Notes

• This implementation is based on this book written in Japanese
  • You can get the original code here