Closed multimeric closed 3 years ago
Oops, a colleague just pointed out a huge flaw in my implementation. I'm putting this back to draft while I fix it.
Well, I don't love the accuracy of it, but does seem to output a meaningful signal for multiple changepoints. I also copied a plot function used in the notebook into the module for others' use. Here is an example calculated using the multivariate test data:
pip install bayesian_changepoint_detection[dev]
for development work (currently this installs pytest), orpip install bayesian_changepoint_detection[multivariate]
(enforces that you have a new enough scipy version for this new feature)