bocd

Python implementation of Bayesian online changepoint detection

BSD-3-CLAUSE License

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Bayesian Online Changepoint Detection

Python implementation of Bayesian online changepoint detection for a normal model with unknown mean parameter. For details, see Adams & MacKay 2007:

Bayesian Online Changepoint Detection

This code is associated with the following blog posts:

http://gregorygundersen.com/blog/2019/08/13/bocd/ http://gregorygundersen.com/blog/2020/10/20/implementing-bocd/

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