Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [change-point]

Methods that attempt to detect when a change occurs in a distribution, process, or function.

Change point detection methods attempt to detect when a change occurs in a distribution, process, or function. For example, the function relating X and Y may have one slope until a given point, and a different slope thereafter, where the point is not known a-priori, but determining it is the goal of an analysis. A common situation where change point detection might arise is with time series data.

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Link Anomaly Detection in Temporal Network

I came across this paper that uses link anomaly detection to predict trending topics, and I found it incredibly intriguing: The paper is "Discovering Emerging Topics in Social Streams via Link Anomaly Detection". I would love to replicate it on a…
Olga Mu
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Python module for change point analysis

I'm looking for a Python module that performs a change-point analysis on a time-series. There are a number of different algorithms and I'd like to explore the efficacy of some of them without having to hand-roll each of the algorithms. Ideally I'd…
Erik Shilts
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Detecting changes in time series (R example)

I would like to detect changes in time series data, which usually has the same shape. So far I've worked with the changepoint package for R and the cpt.mean(), cpt.var() and cpt.meanvar() functions. cpt.mean() with the PELT method works well when…
mlee
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How to detect a significant change in time series data due to a "policy" change?

I hope this is the right place to post this, I considered posting it on skeptics, but I figure they'd just say the study was statistically wrong. I'm curious about the flip side of the question which is how to do it right. On the website Quantified…
MatthewMartin
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Change point analysis using R's nls()

I'm trying to implement a "change point" analysis, or a multiphase regression using nls() in R. Here's some fake data I've made. The formula I want to use to fit the data is: $y = \beta_0 + \beta_1x + \beta_2\max(0,x-\delta)$ What this is supposed…
JoFrhwld
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How to do piecewise linear regression with multiple unknown knots?

Are there any packages to do piecewise linear regression, which can detect the multiple knots automatically? Thanks. When I use the strucchange package. I could not detect the change points. I have no idea how it detects the change points. From the…
Honglang Wang
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LOESS that allows discontinuities

Is there a modelling technique like LOESS that allows for zero, one, or more discontinuities, where the timing of the discontinuities are not known apriori? If a technique exists, is there an existing implementation in R?
Jeromy Anglim
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Estimating the break point in a broken stick / piecewise linear model with random effects in R [code and output included]

Can someone please tell me how to have R estimate the break point in a piecewise linear model (as a fixed or random parameter), when I also need to estimate other random effects? I've included a toy example below that fits a hockey stick / broken…
lockedoff
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How to characterize abrupt change?

This question may be too basic. For a temporal trend of a data, I would like to find out the point where "abrupt" change happens. For example, in the first figure shown below, I would like to find out the change point using some statistic method.…
user2230101
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Detect changes in time series

I came across a picture of an application prototype that finds significant changes ("trends" - not spikes/outliers) in traffic data: I want to write a program (Java, optionally R) that is able to do the same - but because my statistic skills are a…
stephanos
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Determining if change in a time series is statistically significant

I have the total number of calls received each week and have plotted them on a chart, going back nearly 3 years. By eye it seems that there was a massive drop over Christmas, that doesn't seem to have recovered, it seems that there has been a step…
oharab
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Penalty value in changepoint analysis

I'm working with the changepoint R package in R and I understand everything but the penalty value. I know it changes the units of change in the mean, but I still don't know how to interpret it. How do I know how significant is significant? If I put…
Darla
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Finding the change point in data from a piecewise linear function

Greetings, I'm performing research that will help determine the size of observed space and the time elapsed since the big bang. Hopefully you can help! I have data conforming to a piecewise linear function on which I want to perform two linear…
rhombidodecahedron
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State of the art method(s) to find zero mean portions of a time series

I have noisy time series which I need to segment into those portions with a zero mean and those portions without a zero mean. Finding the boundaries as accurately as possible is important (clearly where the boundary precisely lies is a bit…
John Robertson
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Switchpoint detection with probabilistic programming (pymc)

I'm currently reading the Probabilistic Programming and Bayesian Methods for Hackers "book". I've read a few chapters and I was thinking on the first Chapter where the first example with pymc consist of detecting a witchpoint in text messages. In…
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