6 papers
skchange: Fast and Flexible Algorithms for Changepoint Detection
Martin Tveten, Johannes Voll Kolstø, Per August Jarval Moen
Skchange is an open-source Python library for detecting structural changes in time series. It implements modern change detection algorithms within a unified and extensible framewor…
gridcp: Fast Online Changepoint Detection in Python
Per August Jarval Moen, Sebastian Grau Nielsen, Espen Bjørge Urheim +2
Online changepoint detection is the problem of detecting distributional changes in a data stream in real-time. A large body of methodology exists for the offline (fixed-size) setti…
A grid-based methodology for fast online changepoint detection
Per August Jarval Moen
We propose a grid-based methodology for online changepoint detection that allows offline changepoint tests to be applied to sequentially observed data. The methodology achieves low…
Minimax rates in variance and covariance changepoint testing
Per August Jarval Moen
We study the detection of a change in the covariance matrix of independent sub-Gaussian random variables of dimension . Our first contribution is to show that …
perms: Likelihood-free estimation of marginal likelihoods for binary response data in Python and R
Dennis Christensen, Per August Jarval Moen
In Bayesian statistics, the marginal likelihood (ML) is the key ingredient needed for model comparison and model averaging. Unfortunately, estimating MLs accurately is notoriously…
Efficient sparsity adaptive changepoint estimation
Per August Jarval Moen, Ingrid Kristine Glad, Martin Tveten
We propose a new, computationally efficient, sparsity adaptive changepoint estimator for detecting changes in unknown subsets of a high-dimensional data sequence. Assuming the data…