search

JuliaDynamics / TransitionsInTimeseries.jl

Transition Indicators / Early Warning Signals / Regime Shifts / Change Point Detection
MIT License
18 stars 5 forks source link

Integrate/incorporate https://github.com/STOR-i/Changepoints.jl #30

Closed Datseris closed 11 months ago

Datseris commented 1 year ago

opening this quickly before I forget, and will write more later. Software with similar goals exists and we have to think how to integrate or incorporate to not duplicate effort or content: https://github.com/STOR-i/Changepoints.jl

JanJereczek commented 1 year ago

As far as I can see, Changepoints.jl recognizes the changepoint when it occurs and not before. Therefore it would be a very valuable tool to recognize changepoints in e.g. complexity measures.

I propose we implement indicators that would show such jumps and then consider using Changepoints.jl within TransitionIndicators.jl to recognize them.

Datseris commented 1 year ago

If we use exactly our framework, as it is now, and then use as the indicator metric eg. complexity entropy, and as the change metric e.g., any distribution distance function, we also find change points where it occurs. It is just a matter of what is the indicator and what is the change metric. ChangePoints.jl however uses a compelte different algorithm to find a change point. We use significance testing via surrogates to find a change point. They use optimizing a cost function.

Datseris commented 1 year ago

So the question is, how to unite these two compeltely different approaches under a common API.

Datseris commented 11 months ago

Closing in favor of #52

Datseris commented 11 months ago

And we have solved it: we now have a way to unite these completely different approaches under a common API.