An algorithm to get the probability of a changepoint in a time series. The algorithm is described in:
[2] Ryan P. Adams, David J.C. MacKay, Bayesian Online Changepoint Detection, arXiv 0710.3742 (2007)
Inspired by https://github.com/hildensia/bayesian_changepoint_detection, and significantly modified. This implementation can run in fixed space, and the tradeoff between time and space efficiency and accurancy is configurable.
bocd/test_bocd.py provides usage examples (along with serving as unit test
suite for the implementation).
