changepoint: An R Package for Changepoint Analysis

By Rebecca Killick, Idris Arthur Eckley. 2014

1,453 citations recorded by the source corpus.

One of the key challenges in changepoint analysis is the ability to detect multiple changes within a given time series or sequence. The changepoint package has been developed to provide users with a choice of multiple changepoint search methods to use in conjunction with a given changepoint method and in particular provides an implementation of the recently proposed PELT algorithm. This article describes the search methods which are implemented in the package as well as some of the available test statistics whilst highlighting their application with simulated and practical examples. Particular emphasis is placed on the PELT algorithm and how results differ from the binary segmentation approach.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/e64d7d737bc9ed21e3c6b4b1e72ddc7dd75b87eb

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In Economics and Econometrics

Citations in the corpus

Closed-Form Estimators for the Gamma Distribution Derived From Likelihood Equations (2017, background): “See Killick and Eckley (2014) for an example.”
ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data (2013, methodology): “For instance, the changepoint package (Killick and Eckley, 2011) provides many methods for performing change point analysis of univariate time series.”
ggfortify: Unified Interface to Visualize Statistical Results of Popular R Packages (2016, background): “Forecasting Forecasting packages such as forecast (Hyndman, 2015), changepoint (Killick et al., 2016), strucchange (Zeileis et al.”
Maftools: efficient and comprehensive analysis of somatic variants in cancer (2018, methodology): “Log transformed inter-event distances are later fed into cpt.mean function implemented in the changepoint R package to identify potential change points (Killick and Eckley 2014).”
A review of change point detection methods (2018, methodology): “oise) BinSeg factorcpt [37] R cran.r-project. org/package= factorcpt Mean-shifts with factor analysis BinSeg ecp [71] R cran.r-project. org/package= ecp Distribution changes BinSeg, BotUp changepoint [80] R cran.r-project. org/package= changepoint Mean and scale shifts in univariate signals Pelt bre”
GeoLight – processing and analysing light‐based geolocator data in R (2012, methodology): “To search for the time points during which the movement behaviour of an individual changed, we have implemented a changepoint model from the R package changepoint (Killick & Eckley 2011).”