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Changepoint Analysis using MongoDB and NAG4PY

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Recently, I attended the Alan Tayler Day at St. Catherine’s College, Oxford, organised by the Smith Institute. One of the speakers was Dr Rebecca Killick, of Lancaster University, whose talk highlighted her collaboration with NAG that has led to the inclusion of the PELT algorithm into the NAG Library. Dr Killick's collaboration with NAG started in her student days, when she was the runner-up in the "Take Aim" competition, another event run by the Smith Institute and, this year, sponsored by NAG along with Babcock, BT, CATAPULT Satellite Applications, ESPRC, Experian, GCHQ and National Nuclear Laboratory."

The PELT algorithm, of Killick et al, is designed to detect changepoints in an ordered sequence of data, for example, a time series. A changepoint is the location in the series (or time) at which one or more properties of the sequence, such as the mean, changes. A typical example of this is the time at which the average price of a stock changes to a new average va…