Metadata-Version: 2.1
Name: changeforest
Version: 0.2.0
Classifier: License :: OSI Approved :: BSD License
Classifier: Programming Language :: Python
Summary: Classifier based non-parametric change point detection
Requires-Python: >=3.7
Description-Content-Type: text/markdown; charset=UTF-8; variant=GFM
Project-URL: homepage, https://github.com/mlondschien/changeforest/

# Classifier based non-parametric change point detection

Change point detection tries to identify times when the probability distribution of a
stochastic process or time series changes. Existing methods either assume a parametric
model for within-segment distributions or a based on ranks or distances, and thus fail
in scenarios with reasonably large dimensionality.

`changeforest` implements a classifier based algorithm that consistently estimates
change points without any parametric assumptions even in high-dimensional scenarios.
See [1] for details.

## References

[1] M. Londschien, S. Kovács and P. Bühlmann (2021), "Random Forests and other nonparametric classifiers for multivariate change point detection", working paper.
