A Tidy Framework for Changepoint Detection Analysis.

tidychangepoint

Usage

To install tidychangepoint:

remotes::install_github("beanumber/tidychangepoint")

To load it:

library(tidychangepoint)

Tidy methods for changepoint analysis

The tidychangepoint package allows you to use any number of algorithms for detecting changepoint sets in univariate time series with a common, tidyverse-compliant interface. Currently, algorithms from changepoint, wbs, and several genetic algorithms made accessible via GA are supported. It also provides model-fitting procedures for commonly-used parametric models, tools for computing various penalty functions, and graphical diagnostic displays.

Changepoint sets are computed using the segment() function, which takes a numeric vector that is coercible into a ts object, and a string indicating the algorithm you wish you use. segment() always returns a tidycpt object.

x <- segment(CET, method = "pelt", minseglen = 3)
class(x)

## [1] "tidycpt"

Various methods are available for tidycpt objects. For example, as.ts() returns the original data as ts object, and changepoints() returns the set of changepoint indices.

changepoints(x)

## [1] 237 330

If the original time series has time labels, we can also retrieve that information.

changepoints(x, use_labels = TRUE)

## [1] "1895-01-01" "1988-01-01"

The fitness() function returns the both the value and the name of the objective function that the algorithm used to find the optimal changepoint set.

fitness(x)

##     MBIC 
## 643.5292

References

Please read the full paper for more details.

To cite the package, use the following information:

citation("tidychangepoint")

## Warning in citation("tidychangepoint"): could not determine year for
## 'tidychangepoint' from package DESCRIPTION file

## To cite package 'tidychangepoint' in publications use:
## 
##   Baumer B, Suarez Sierra B, Coen A, Taimal C (????). _tidychangepoint:
##   Facilitate Changepoint Detection Analysis in a Tidy Framework_. R
##   package version 0.0.1,
##   <https://beanumber.github.io/tidychangepoint/>.
## 
## A BibTeX entry for LaTeX users is
## 
##   @Manual{,
##     title = {tidychangepoint: Facilitate Changepoint Detection Analysis in a Tidy Framework},
##     author = {Benjamin S. Baumer and Biviana Marcela {Suarez Sierra} and Arrigo Coen and Carlos A. Taimal},
##     note = {R package version 0.0.1},
##     url = {https://beanumber.github.io/tidychangepoint/},
##   }