A single R/Python package now implements the focus family of exact online changepoint detectors, with convex-hull pruning and a claimed per-iteration cost of O(log(n)^d) for d-dimensional data.
Extreme value theory in mixture distributions and a statistical method to control the possible bias
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focus and focus-cpt: Fast Online Changepoint Detection in R and Python
A single R/Python package now implements the focus family of exact online changepoint detectors, with convex-hull pruning and a claimed per-iteration cost of O(log(n)^d) for d-dimensional data.