skchange: Fast and Flexible Algorithms for Changepoint Detection
Skchange is an open-source Python library for detecting structural changes in time series. It implements modern change detection algorithms within a unified and extensible framework. The algorithms are modular and composable, and they include changepoint search methods based on both cost minimisation and statistical tests. Key features include the detection of anomalous segments in addition to changepoints; theoretically well-founded fast and approximate search methods; theoretically well-founded algorithms for high-dimensional data, covering settings where either few or many features change simultaneously; utilities for automatic and data-driven penalty calibration, which balances false ...
| Authors | Martin Tveten, Johannes Voll Kolstø, Per August Jarval Moen |
|---|---|
| Primary category | stat.CO |
| Published | 20 August 2026 |
| Last updated at source | 20 August 2026 |
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