changepoint - Change point detection for Rust

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

Usage

To use changepoint, first add this to your Cargo.toml:

toml [dependencies] changepoint = "0.1"

Algorithms

Includes the following change point detection algorithms: * BOCPD -- Online Bayesian Change Point Detection 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::{constant_hazard, utils, BOCPD}; use rv::prelude::*; use std::io;

fn main() -> io::Result<()> { // Parse the data from the TB3MS dataset let data: &str = includestr!("./TB3MS.csv"); 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 = BOCPD::new(
    constant_hazard(250.0),
    Gaussian::standard(),
    NormalGamma::new_unchecked(0.0, 1.0, 1.0, 1E-5),
);

// Feed data into change point detector
let res: Vec<Vec<f64>> = pct_change.iter().map(|d| cpd.step(d)).collect();

// Determine most likely change points
let change_points: Vec<usize> =
    utils::most_likely_breaks(&res, utils::ChangePointDetectionMethod::DropThreshold(0.1));
let change_dates: Vec<&str> = change_points.iter().map(|&i| dates[i]).collect();

// Write output for processing my `trasury_bill.ipynb`.
utils::write_data_and_r("treasury_bill_output", &pct_change, &res, &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: