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fastcpd  

Fast Change Point Detection via Sequential Gradient Descent
View on CRAN: Click here


Download and install fastcpd package within the R console
Install from CRAN:
install.packages("fastcpd")

Install from Github:
library("remotes")
install_github("cran/fastcpd")

Install by package version:
library("remotes")
install_version("fastcpd", "0.16.2")



Attach the package and use:
library("fastcpd")
Maintained by
Xingchi Li
[Scholar Profile | Author Map]
First Published: 2023-09-14
Latest Update: 2024-01-24
Description:
Implements fast change point detection algorithm based on the paper "Sequential Gradient Descent and Quasi-Newton's Method for Change-Point Analysis" by Xianyang Zhang, Trisha Dawn . The algorithm is based on dynamic programming with pruning and sequential gradient descent. It is able to detect change points a magnitude faster than the vanilla Pruned Exact Linear Time(PELT). The package includes examples of linear regression, logistic regression, Poisson regression, penalized linear regression data, and whole lot more examples with custom cost function in case the user wants to use their own cost function.
How to cite:
Xingchi Li (2023). fastcpd: Fast Change Point Detection via Sequential Gradient Descent. R package version 0.16.2, https://cran.r-project.org/web/packages/fastcpd. Accessed 05 May. 2025.
Previous versions and publish date:
0.6.2 (2023-09-14 21:20), 0.7.0 (2023-09-21 08:50), 0.7.2 (2023-09-24 01:00), 0.9.0 (2023-10-19 09:00), 0.9.9 (2023-12-11 22:30), 0.10.0 (2023-12-21 10:00), 0.10.1 (2024-01-09 22:20), 0.10.3 (2024-01-24 16:20), 0.12.1 (2024-03-12 12:20), 0.12.2 (2024-03-19 14:50), 0.13.1 (2024-04-01 17:50), 0.14.0 (2024-04-16 08:20), 0.14.1 (2024-04-18 23:32), 0.14.3 (2024-04-26 13:50), 0.14.6 (2024-11-05 10:00), 0.16.0 (2025-03-14 00:10), 0.16.1 (2025-03-21 01:10)
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Complete documentation for fastcpd
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