Information of why changepoint was detected #253
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I am not an expert on the algorithms for changepoint detection. But do you think it's possible that we can get the reason why a changepoint was detected or how certain the algorithm is? I can understand that for a more complicated algorithm, one simple answer can not be easily given. But has anyone an idea for this? |
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Replies: 2 comments
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Detected changes depend on the cost function that you use. CostL2 will find changes in the mean, CostNormal will find changes in the mean and variance/covariance, etc. For each cost function, the type of change that can be detected is described in the documentation. For a given cost function, the chosen indexes are chosen because they minimize a criterion (called the sum of costs, see this review article associated with this Python library). |
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@deepcharles thanks! Now everything is more clear. |
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Detected changes depend on the cost function that you use. CostL2 will find changes in the mean, CostNormal will find changes in the mean and variance/covariance, etc. For each cost function, the type of change that can be detected is described in the documentation.
For a given cost function, the chosen indexes are chosen because they minimize a criterion (called the sum of costs, see this review article associated with this Python library).