Implementation of efficient algorithm for changepoint detection: ED-PELT

1 · Andrey Akinshin · Oct. 7, 2019, midnight
Changepoint detection is an important task that has a lot of applications. For example, I use it to detect changes in the Rider performance test suite. It's very important to detect not only performance degradations, but any kinds of performance changes (e.g., the variance may increase, or a unimodal distribution may be split to several modes). You can see examples of such changes on the following picture (we change the color when a changepoint is detected): Unfortunately, it's pretty h...