Julia functions for changepoint detection, segmented regression, and seasonal trend by loess?

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Julia functions for changepoint detection, segmented regression, and seasonal trend by loess?

Adam Erickson
Hi Everyone,

I'm looking for functions in Julia for changepoint detection, segmented regression, and seasonal trend by loess, ideally for distributed systems. Is there anything existing or would this need to be done from scratch? Are there C libraries that can be ported? These functions exist in R, but if I was going to use those, I'd just use R for everything. Looking for something faster and easier to run on distributed systems.

Thanks in advance,

Adam

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Re: Julia functions for changepoint detection, segmented regression, and seasonal trend by loess?

Keith Campbell
Try https://github.com/STOR-i/Changepoints.jl

On Saturday, February 13, 2016 at 4:40:05 PM UTC-5, Adam Erickson wrote:
Hi Everyone,

I'm looking for functions in Julia for changepoint detection, segmented regression, and seasonal trend by loess, ideally for distributed systems. Is there anything existing or would this need to be done from scratch? Are there C libraries that can be ported? These functions exist in R, but if I was going to use those, I'd just use R for everything. Looking for something faster and easier to run on distributed systems.

Thanks in advance,

Adam

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Re: Julia functions for changepoint detection, segmented regression, and seasonal trend by loess?

Adam Erickson
Very nice, thank you Keith! PELT is exactly what I was seeking. OLS segmented regression should be relatively straightforward from there. I see there is a Loess package too (link), while the FORTRAN code for STL is available here. Would probably take a little time to write Julia wrappers for it.

On Monday, February 15, 2016 at 11:13:17 PM UTC+1, Keith Campbell wrote:
Try <a href="https://github.com/STOR-i/Changepoints.jl" target="_blank" rel="nofollow" onmousedown="this.href=&#39;https://www.google.com/url?q\75https%3A%2F%2Fgithub.com%2FSTOR-i%2FChangepoints.jl\46sa\75D\46sntz\0751\46usg\75AFQjCNHNvL4d8JDwcijZKKNM_RgSjdzjMg&#39;;return true;" onclick="this.href=&#39;https://www.google.com/url?q\75https%3A%2F%2Fgithub.com%2FSTOR-i%2FChangepoints.jl\46sa\75D\46sntz\0751\46usg\75AFQjCNHNvL4d8JDwcijZKKNM_RgSjdzjMg&#39;;return true;">https://github.com/STOR-i/Changepoints.jl

On Saturday, February 13, 2016 at 4:40:05 PM UTC-5, Adam Erickson wrote:
Hi Everyone,

I'm looking for functions in Julia for changepoint detection, segmented regression, and seasonal trend by loess, ideally for distributed systems. Is there anything existing or would this need to be done from scratch? Are there C libraries that can be ported? These functions exist in R, but if I was going to use those, I'd just use R for everything. Looking for something faster and easier to run on distributed systems.

Thanks in advance,

Adam

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