feat: add EDivisive nonparametric change point detection#375
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hass-nation wants to merge 2 commits into
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feat: add EDivisive nonparametric change point detection#375hass-nation wants to merge 2 commits into
hass-nation wants to merge 2 commits into
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Implements the E-Divisive algorithm (Matteson & James, 2014, JASA 109(505):334-345) as a new `EDivisive` estimator in `ruptures.detection`. The algorithm recursively splits the segment with the highest energy divergence between its two halves, using a permutation test to decide when to stop. It makes no distributional assumptions and supports multivariate signals and a tunable distance exponent `alpha`. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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Summary
Adds
EDivisive, a new detection algorithm based on the energy-statistic approach of Matteson and James (2014).alpha(distance exponent, default 1 = Euclidean; any value in (0, 2] is valid),min_size,n_perms,sig_level.n_bkps(fixed count, no permutation test) and permutation-based stopping.scipy.spatial.distance.cdist, already a ruptures dependency.Reference
Matteson, D. S. and James, N. A. (2014). A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data. Journal of the American Statistical Association, 109(505), 334-345.
Test plan
tests/test_edivisive.pycovering: interface, error handling, detection accuracy (1-D and 5-D), energy statistic properties, alpha variants, permutation test behaviour, min_size constraint.