Information about PELT implementation

[Irfanwustl]

Hi, Thanks for the wonderful package. I am using PELT algorithm from the package. However, I am wondering what the effect of the jump parameter is. In the documentation, there is a description. However, I am not sure I understand that

Also, the authors of PELT have recently published a multidimensional algorithm. Have you implemented this for high-dimensional PELT? Or this version?

Thanks again for the great package.

[deepcharles]

The jump parameter speeds up calculations. For instance, if jump=3, only the indexes 3, 6, 9,... are considered as potential change-points. If jump=1, all indexes are considered as potential change-points. Roughly, jump=3 is three times faster than jump=1, since we compute three times less cost functions.

Thanks for the references, I will look into that and see if those methods can be integrated easily into ruptures.

[Irfanwustl]

Thanks.