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Update readme a bit. (#106)
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mlondschien authored Apr 6, 2022
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# Classifier based non-parametric change point detection
# Random Forests for Change Point Detection

Change point detection tries to identify times when the probability distribution of a
stochastic process or time series changes. Existing methods either assume a parametric
model for within-segment distributions or a based on ranks or distances, and thus fail
in scenarios with reasonably large dimensionality.
Change point detection aims to identify structural breaks in the probability
distribution of a time series. Existing methods either assume a parametric model for
within-segment distributions or a based on ranks or distances, and thus fail in
scenarios with reasonably large dimensionality.

`changeforest` implements a classifier based algorithm that consistently estimates
`changeforest` implements a classifier-based algorithm that consistently estimates
change points without any parametric assumptions even in high-dimensional scenarios.
It uses the out-of-bag probability predictions of a random forest to construct a
pseudo-log-likelihood that gets optimized using a computationally feasible two-step
method.

See [1] for details.


`changeforest` is available as rust crate, a Python package (on
[`PyPI`](https://pypi.org/project/changeforest/) and
[`conda-forge`](https://anaconda.org/conda-forge/changeforest))
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## References

[1] M. Londschien, S. Kovács and P. Bühlmann (2021), "Random Forests and other nonparametric classifiers for multivariate change point detection", working paper.
[1] M. Londschien, S. Kovács and P. Bühlmann (2022), "Random Forests for Change Point Detection", working paper.

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