mosum.py documentation

A python port of the R package mosum <https://CRAN.R-project.org/package=mosum>. Implementations of MOSUM-based statistical procedures and algorithms for detecting multiple changes in the mean. This comprises the MOSUM procedure for estimating multiple mean changes from Eichinger and Kirch (2018) <doi:10.3150/16-BEJ887> and the multiscale algorithmic extension from Cho and Kirch (2022) <doi:10.1007/s10463-021-00811-5>, as well as the bootstrap procedure for generating confidence intervals about the locations of change points as proposed in Cho and Kirch (2022) <doi:10.1016/j.csda.2022.107552>. See also Meier, Kirch and Cho (2021) <doi:10.18637/jss.v097.i08> which accompanies the R package.

Contents

• mosum.py: user guide
  • Installation
  • Generating data
  • MOSUM procedure
  • Multiscale MOSUM procedure with bottom-up merging
  • Multiscale MOSUM procedure with local pruning
• Confidence intervals
  • 3D visualisation
  • References
• API Reference
  • mosum
    • Submodules
      • mosum.bandwidth
        • Module Contents
          • Classes
          • Functions
            • bandwidths_default()
            • multiscale_grid_obj
            • multiscale_grid()
      • mosum.bootstrap
        • Module Contents
          • Functions
            • confint_mosum_cpts()
            • confint_multiscale_cpts()
            • cpts_bootstrap()
            • mean_help()
            • get_k_star()
            • bootstrapped_timeSeries()
            • cpts_bootstrap_help()
      • mosum.bottom_up
        • Module Contents
          • Functions
            • multiscale_bottomUp()
      • mosum.classes
        • Module Contents
          • Classes
            • mosum_obj
              • mosum_obj.plot()
              • mosum_obj.summary()
              • mosum_obj.print()
              • mosum_obj.confint()
            • multiscale_cpts
              • multiscale_cpts.plot()
              • multiscale_cpts.summary()
              • multiscale_cpts.print()
              • multiscale_cpts.confint()
            • multiscale_cpts_lp
              • multiscale_cpts_lp.plot()
      • mosum.exhaust_bic
        • Module Contents
          • Functions
            • get_comb_ind()
            • extract_sub()
            • start_bit_permutations()
            • next_bit_permutation()
            • is_child()
            • numberOfSetBits()
            • comb_contains_cpt()
            • get_local_costs()
            • setBitNumber()
            • exhaust_sc()
      • mosum.local_prune
        • Module Contents
          • Functions
            • multiscale_localPrune()
            • local_prune()
            • local_env()
            • dup_merge()
            • detect_interval()
      • mosum.mosum
        • Module Contents
          • Functions
            • mosum()
      • mosum.mosum_stat
        • Module Contents
          • Classes
          • Functions
            • mosum_stat_obj
            • mosum_stat()
            • rolling_sum()
            • eta_criterion_help()
      • mosum.mosum_test
        • Module Contents
          • Functions
            • asymptoticA()
            • asymptoticB()
            • criticalValue()
            • pValue()
      • mosum.persp3D
        • Module Contents
          • Functions
            • persp3D_multiscaleMosum()
      • mosum.test_data
        • Module Contents
          • Functions
            • testData()
            • testSignal()
      • mosum.test_models
        • Module Contents
          • Functions
            • modelSignal()
    • Package Contents
      • Functions
        • mosum()
        • criticalValue()
        • multiscale_bottomUp()
        • multiscale_localPrune()
        • bandwidths_default()
        • testData()
        • persp3D_multiscaleMosum()

Indices and tables

• Index

• Module Index

• Search Page