Changepoint Detection – Part 2

If you haven’t already, I would strongly recommend glancing over the part 1 of this post before continuing. In it we talked about a method for detecting a single changepoint through techniques such as maximum log-likelihood estimation. The question now is the more difficult one of how can we search for multiple changepoints?

The simplest thing to do would be to initially apply our Single Changepoint Detection (SCD) method to the series we want to analyse. If there is no changepoint found we are done, but if there is a changepoint found we end up with two distinct segments.

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