A review of change point detection methods.

Charles Truong, Laurent Oudre, Nicolas Vayatis

Abstract: This article presents a selective survey of algorithms for the offline detection of multiple change points in multivariate time series. A general yet structuring methodological strategy is adopted to organize this vast body of work. More precisely, detection algorithms considered in this review are characterized by three elements: a cost function, a search method and a constraint on the number of changes. Each of those elements is described, reviewed and discussed separately. Implementations of the main algorithms described in this article are provided within a Python package called ruptures.