changepoint - Change point detection for Rust

Changepoint is a library for doing change point detection for streams of data.

Algorithms

Includes the following change point detection algorithms: * Bocpd -- Online Bayesian Change Point Detection Reference. * BocpdTruncated -- Same as Bocpd but truncated the run-length distribution when those lengths are unlikely. * Argpcp -- Gaussain Process Change Point detector Reference

Example

``rust //! A demo of the online Bayesian change point detection on //! the 3-month Treasury Bill Secondary Market Rate from //! //! After this example is run, the filetrasury_bill.ipynb` can be run to generate //! plots for this dataset. //! //! > Board of Governors of the Federal Reserve System (US), 3-Month Treasury Bill: Secondary //! > Market Rate [TB3MS], retrieved from FRED, Federal Reserve Bank of St. Louis; //! > https://fred.stlouisfed.org/series/TB3MS, August 5, 2019.

use changepoint::{utils::, BocpdTruncated, BocpdLike}; use rv::prelude::; use std::io; use std::path::PathBuf; use std::fs::readtostring;

fn main() -> io::Result<()> { // Parse the data from the TB3MS dataset let mut csvpath = PathBuf::from(env!("CARGOMANIFESTDIR")); csvpath.push("resources/TB3MS.csv"); let data: String = readtostring(&csvpath)?; let (dates, pctchange): (Vec<&str>, Vec) = data .lines() .skip(1) .map(|line| { let split: Vec<&str> = line.splitn(2, ',').collect(); let date = split[0]; let rawpct = split[1]; (date, rawpct.parse::().unwrap()) }) .unzip();

// Create the Bocpd processor
let mut cpd = BocpdTruncated::new(
    250.0,
    NormalGamma::new_unchecked(0.0, 1.0, 1.0, 1.0),
);

// Feed data into change point detector and generate a sequence of run-length distributions
let rs: Vec<Vec<f64>> = pct_change
    .iter()
    .map(|d| cpd.step(d).into())
    .collect();

// Determine most likely change points
let change_points: Vec<usize> = map_changepoints(&rs);
let change_dates: Vec<&str> =
    change_points.iter().map(|&i| dates[i]).collect();

// Write output for processing my `trasury_bill.ipynb`.
write_data_and_r(
    "treasury_bill_output",
    &pct_change,
    &rs,
    &change_points,
)?;

println!("Most likely dates of changes = {:#?}", change_dates);

Ok(())

} ```

To run this example, from the source root, run cargo run --example treasury_bill. The partner notebook can be used to generate the following plots: