change-point-detection

This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).

machine-learning deep-learning trading quantum-mechanics trading-strategies change-point-detection momentum-trading-strategy

UpdatedNov 24, 2022
Python

Estimating Copula Entropy (Mutual Information), Transfer Entropy (Conditional Mutual Information), and the statistics for multivariate normality test and two-sample test, and change point detection in Python

python correlation entropy information-theory variable-selection causality copula hypothesis-testing mutual-information changepoint transfer-entropy conditional-mutual-information granger-causality change-detection change-point-detection causal-discovery two-sample-test copula-entropy normality-test conditional-independence-test

UpdatedOct 2, 2024
Python

alan-turing-institute /TCPD

Star147

The Turing Change Point Dataset - A collection of time series for the evaluation and development of change point detection algorithms

dataset changepoint change-detection change-point change-point-detection

UpdatedJan 4, 2025
Python

alan-turing-institute /TCPDBench

Star139

The Turing Change Point Detection Benchmark: An Extensive Benchmark Evaluation of Change Point Detection Algorithms on real-world data

benchmark reproducible-research reproducible-science benchmark-suite changepoint change-detection change-point reproducible-paper change-point-detection

UpdatedOct 24, 2022

C2S2-HF /InverseL0TF

Star106

A splicing approach to the inverse problem of L0 trend filtering.

r trend-filtering change-point-detection

UpdatedMar 31, 2025
R

ermshaua /claspy

Star101

ClaSPy: A Python package for time series segmentation.

python science data-science machine-learning data-mining research time-series segmentation unsupervised-learning time-series-analysis change-point time-series-data-mining change-point-detection time-series-segmentation

UpdatedNov 22, 2024
Jupyter Notebook

HSE-LAMBDA /roerich

Star68

☝️ Change point detection

python time-series changepoint change-detection change-point-detection

UpdatedAug 3, 2023
Python

ermshaua /time-series-segmentation-benchmark

Star67

This repository contains the time series segmentation benchmark (TSSB).

UpdatedMar 31, 2025
Jupyter Notebook

OctoberChang /klcpd_code

Star58

Kernel Change-point Detection with Auxiliary Deep Generative Models (ICLR 2019 paper)

maximum-mean-discrepancy change-point-detection deep-generative-model kernel-two-sample-test

UpdatedJul 3, 2023
Python

mlondschien /changeforest

Star50

Random Forests for Change Point Detection

signal-processing changepoint change-point-detection changepoint-detection

UpdatedJan 27, 2025
Rust

mmhs013 /pyHomogeneity

Star47

A python package for homogeneity test of time series data.

python breakpoint-detection change-point-detection homogeneity

UpdatedApr 16, 2022
Python

lightonai /newma

Star46

Implementation of NEWMA: a new method for scalable model-free online change-point detection

python machine-learning timeseries paper high-dimensional-data hardware-acceleration change-point-detection

UpdatedMay 4, 2020
Python

majianthu /copent

Star42

R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test