Piecewise constant (pw_constant)

Description

For a given number of samples \(T\), number \(K\) of change points and noise variance \(\sigma^2\), the function pw_constant generates change point dexes \(0 < t_1 < \dots < t_K < T\) and a piecewise constant signal \(\{y_t\}_t\) with additive Gaussian noise.

Usage

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)
rpt.display(signal, bkps)

The mean shift amplitude is uniformly drawn from an interval that can be changed through the keyword delta.

signal, bkps = rpt.pw_constant(n, dim, n_bkps, noise_std=sigma, delta=(1, 10))