RegimeChange
Comprehensive Regime Change Detection in Time Series
A unified framework for detecting regime changes (changepoints) in time series data. Implements both frequentist methods including Cumulative Sum (CUSUM, Page (1954) <doi:10.1093/biomet/41.1-2.100>), Pruned Exact Linear Time (PELT, Killick, Fearnhead, and Eckley (2012) <doi:10.1080/01621459.2012.737745>), Binary Segmentation, and Wild Binary Segmentation, as well as Bayesian methods such as Bayesian Online Changepoint Detection (BOCPD, Adams and MacKay (2007) <doi:10.48550/arXiv.0710.3742> and Shiryaev-Roberts. Supports offline analysis for retrospective detection and online monitoring for real-time surveillance. Provides rigorous uncertainty quantification through confidence intervals and posterior distributions. Handles univariate and multivariate series with detection of changes in mean, variance, trend, and distributional properties.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.1 |
rolling linux/jammy R-4.5 | RegimeChange_0.1.1.tar.gz |
464.9 KiB |
0.1.1 |
rolling linux/noble R-4.5 | RegimeChange_0.1.1.tar.gz |
465.5 KiB |
0.1.1 |
rolling source/ R- | RegimeChange_0.1.1.tar.gz |
190.6 KiB |
0.1.1 |
latest linux/jammy R-4.5 | RegimeChange_0.1.1.tar.gz |
464.9 KiB |
0.1.1 |
latest linux/noble R-4.5 | RegimeChange_0.1.1.tar.gz |
465.5 KiB |
0.1.1 |
latest source/ R- | RegimeChange_0.1.1.tar.gz |
190.6 KiB |
0.1.1 |
2026-04-26 source/ R- | RegimeChange_0.1.1.tar.gz |
190.6 KiB |
0.1.1 |
2026-04-23 source/ R- | RegimeChange_0.1.1.tar.gz |
190.6 KiB |
0.1.1 |
2026-04-09 windows/windows R-4.5 | RegimeChange_0.1.1.zip |
471.2 KiB |