``````

In [5]:

import os
os.chdir("..")

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``````

In [6]:

import numpy as np
from matplotlib import pyplot as plt
%matplotlib inline
import math

from concord_ml.bcd import BayesianChangepointDetection
from concord_ml.bcd.distributions import Gaussian

``````
``````

In [7]:

def hazard(p):
def geometric(t):
return p * (1 - p) ** t
return geometric

p = .4

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``````

In [8]:

def test1():
X = np.zeros(1024)
e = np.random.normal(size=1024)
for t in np.arange(1, 484):
X[t] = .75 * X[t-1] + e[t]
for t in np.arange(484, 803):
X[t] = 1.7 * X[t-1] - .75 * X[t-2] + e[t]
for t in np.arange(803, 1024):
X[t] = 1.25 * X[t-1] - .7 * X[t-2] + e[t]
return X

data = test1()
plt.title("Data")
plt.plot(data)
plt.axvline(484, color='r')
plt.axvline(803, color='r')
plt.show()

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
plt.plot([result.argmax() for result in results])
plt.axvline(484, color='r')
plt.axvline(803, color='r')
plt.show()

``````
``````

``````
``````

In [9]:

def test2():
X = np.zeros(1024)
e = np.random.normal(size=1024)
for t in np.arange(1, 576):
X[t] = .75 * X[t-1] + e[t] + .75 * e[t-1]
for t in np.arange(576, 879):
X[t] = .75 * X[t-1] + e[t]
for t in np.arange(879, 1024):
X[t] = e[t] + .75 * e[t-1]
return X

data = test2()
plt.title("Data")
plt.plot(data)
plt.axvline(576, color='r')
plt.axvline(879, color='r')
plt.show()

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
plt.plot([result.argmax() for result in results])
plt.axvline(576, color='r')
plt.axvline(879, color='r')
plt.show()

``````
``````

``````
``````

In [10]:

def test3():
X = np.zeros(1024)
e = np.random.normal(size=1024)
for t in np.arange(1, 131):
X[t] = .9 * X[t-1] + e[t]
for t in np.arange(131, 1024):
X[t] = .25 * X[t-1] + e[t]
return X

data = test3()
plt.title("Data")
plt.plot(data)
plt.axvline(131, color='r')
plt.show()

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
plt.plot([result.argmax() for result in results])
plt.axvline(131, color='r')
plt.show()

``````
``````

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``````

In [11]:

def test4():
X = np.zeros(1024)
e = np.random.normal(size=1024)
for t in np.arange(1, 421):
X[t] = .75 * X[t-1] + e[t]
# Diverges very quickly from this point onward
for t in np.arange(421, 823):
X[t] = 4 * (.75 * X[t-1] + e[t])
for t in np.arange(823, 1024):
X[t] = .75 * X[t-1] + e[t]
return X

data = test4()
plt.title("Data")
plt.plot(data)
plt.axvline(421, color='r')
plt.axvline(823, color='r')
plt.show()

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
plt.plot([result.argmax() for result in results])
plt.axvline(421, color='r')
plt.axvline(823, color='r')
plt.show()

``````
``````

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``````

In [12]:

def test5():
X = np.zeros(1024)
e = np.random.normal(size=1024)
a = 1 - .5 * np.cos(16 * math.pi * np.arange(1024) / 1024)
for t in np.arange(1, 321):
X[t] = a[t] * e[t]
for t in np.arange(321, 665):
X[t] = 5 * a[t] * e[t]
# Diverges very quickly from this point onward
for t in np.arange(665, 1024):
X[t] = a[t] * X[t-1] + .81 * X[t-2] + e[t]
return X

data = test5()
plt.title("Data")
plt.plot(data)
plt.axvline(321, color='r')
plt.axvline(665, color='r')
plt.show()

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
plt.plot([result.argmax() for result in results])
plt.axvline(321, color='r')
plt.axvline(665, color='r')
plt.show()

``````
``````

``````
``````

In [13]:

def test6():
X = np.zeros(1024)
e = np.random.normal(size=1024)
for t in np.arange(1, 470):
X[t] = math.sqrt(abs(2 * e[t]))
for t in np.arange(470, 1024):
X[t] = .5 * X[t-1] + e[t]
return X

data = test6()
plt.title("Data")
plt.plot(data)
plt.axvline(470, color='r')
plt.show()

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
plt.plot([result.argmax() for result in results])
plt.axvline(470, color='r')
plt.show()

``````
``````

``````
``````

In [14]:

def test1():
X = np.zeros(1024)
e = np.random.normal(size=1024)
for t in np.arange(1, 484):
X[t] = .75 * X[t-1] + e[t]
for t in np.arange(484, 803):
X[t] = 1.7 * X[t-1] - .75 * X[t-2] + e[t]
for t in np.arange(803, 1024):
X[t] = 1.25 * X[t-1] - .7 * X[t-2] + e[t]
return X

data = test1()
plt.title("Data")
plt.plot(data)
plt.axvline(484, color='r')
plt.axvline(803, color='r')
plt.show()
plt.axvline(484, color='r')
plt.axvline(803, color='r')

detector = BayesianChangepointDetection(hazard(p), Gaussian(1, 0, 1, 0.1))
results = [detector.step(datum) for datum in data]
plt.title("Run length")
a = np.array([np.pad(result, (0, results[-1].shape[0]-len(result)), 'constant', constant_values=0) for result in results])
plt.pcolormesh(a.T, vmax=.1, cmap='gray')
plt.xlim(0, a.shape[0])
plt.ylim(0, a.shape[1])
plt.show()

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``````

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``````

In [ ]:

``````