RegimeChange: Comprehensive Regime Change Detection in Time Series
A unified framework for detecting regime changes (changepoints) in time series data. Implements both frequentist methods including Cumulative Sum (CUSUM, Page (1954) <doi:10.1093/biomet/41.1-2.100>), Pruned Exact Linear Time (PELT, Killick, Fearnhead, and Eckley (2012) <doi:10.1080/01621459.2012.737745>), Binary Segmentation, and Wild Binary Segmentation, as well as Bayesian methods such as Bayesian Online Changepoint Detection (BOCPD, Adams and MacKay (2007) <doi:10.48550/arXiv.0710.3742> and Shiryaev-Roberts. Supports offline analysis for retrospective detection and online monitoring for real-time surveillance. Provides rigorous uncertainty quantification through confidence intervals and posterior distributions. Handles univariate and multivariate series with detection of changes in mean, variance, trend, and distributional properties.
| Version: | 0.1.1 |
| Depends: | R (≥ 4.0.0) |
| Imports: | stats, ggplot2 (≥ 3.4.0), rlang (≥ 1.1.0), cli (≥ 3.6.0), magrittr |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown, plotly, patchwork, covr, JuliaCall (≥ 0.17.0), keras (≥ 2.9.0), tensorflow (≥ 2.9.0), reticulate (≥ 1.26) |
| Published: | 2026-02-13 |
| DOI: | 10.32614/CRAN.package.RegimeChange (may not be active yet) |
| Author: | José Mauricio Gómez Julián
 [aut, cre] |
| Maintainer: | José Mauricio Gómez Julián <isadorenabi at pm.me> |
| BugReports: | https://github.com/IsadoreNabi/RegimeChange/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/IsadoreNabi/RegimeChange |
| NeedsCompilation: | no |
| SystemRequirements: | Julia (>= 1.6) for optional high-performance backend, Python (>= 3.8) with TensorFlow for deep learning methods |
| Materials: | README, NEWS |
| CRAN checks: | RegimeChange results |
Documentation:
| Reference manual: | RegimeChange.html , RegimeChange.pdf |
| Vignettes: |
Bayesian Changepoint Detection (source, R code) Introduction to RegimeChange (source, R code) Offline Changepoint Detection (source, R code) |
Downloads:
| Package source: | RegimeChange_0.1.1.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available |
Linking:
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