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Rank-based cost function (CostRank)#


This cost function detects general distribution changes in multivariate signals, using a rank transformation [Lung-Yut-Fong2015]. Formally, for a signal \(\{y_t\}_t\) on an interval \([a, b)\),

\[ c_{rank}(a, b) = -(b - a) \bar{r}_{a..b}' \hat{\Sigma}_r^{-1} \bar{r}_{a..b} \]

where \(\bar{r}_{a..b}\) is the empirical mean of the sub-signal \(\{r_t\}_{t=a+1}^b\), and \(\hat{\Sigma}_r\) is the covariance matrix of the complete rank signal \(r\).


Start with the usual imports and create a signal.

import numpy as np
import matplotlib.pylab as plt
import ruptures as rpt

# creation of data
n, dim = 500, 3  # number of samples, dimension
n_bkps, sigma = 3, 5  # number of change points, noise standard deviation
signal, bkps = rpt.pw_constant(n, dim, n_bkps, noise_std=sigma)

Then create a CostRank instance and print the cost of the sub-signal signal[50:150].

c = rpt.costs.CostRank().fit(signal)
print(c.error(50, 150))

You can also compute the sum of costs for a given list of change points.

print(c.sum_of_costs([10, 100, 200, 250, n]))

In order to use this cost class in a change point detection algorithm (inheriting from BaseEstimator), either pass a CostRank instance (through the argument custom_cost) or set model="rank".

c = rpt.costs.CostRank()
algo = rpt.Dynp(custom_cost=c)
# is equivalent to
algo = rpt.Dynp(model="rank")


[Lung-Yut-Fong2015] Lung-Yut-Fong, A., Lévy-Leduc, C., & Cappé, O. (2015). Homogeneity and change-point detection tests for multivariate data using rank statistics. Journal de La Société Française de Statistique, 156(4), 133–162.