ruptures: change point detection in Python

This repository contains a reading list of papers on Time Series Segmentation. This repository is still being continuously improved.

This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).

Estimating Copula Entropy (Mutual Information), Transfer Entropy (Conditional Mutual Information), and the statistics for multivariate normality test and two-sample test, and change point detection in Python

The Turing Change Point Dataset - A collection of time series for the evaluation and development of change point detection algorithms

The Turing Change Point Detection Benchmark: An Extensive Benchmark Evaluation of Change Point Detection Algorithms on real-world data

ClaSPy: A Python package for time series segmentation.

A splicing approach to the inverse problem of L0 trend filtering.

☝️ Change point detection

Kernel Change-point Detection with Auxiliary Deep Generative Models (ICLR 2019 paper)

A python package for homogeneity test of time series data.

Implementation of NEWMA: a new method for scalable model-free online change-point detection

Nyrkiö is an open source platform for detecting performance changes in a Continuous Performance Engineering workflow

R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test

📖 A curated list of awesome time-series papers, benchmarks, datasets, tutorials. (WIP)

Time-series analysis using the Matrix profile in Julia

Fast Change Point Detection in R

Transition Indicators / Early Warning Signals / Regime Shifts / Change Point Detection

Machine learning and data analysis package implemented in JavaScript and its online demo.

Correlation-aware Change-point Detection via Graph Neural Networks