fastcpd

Authors Xingchi Li, Xianyang Zhang, Trisha Dawn

Last update 16 June 2026

Software version identifier 0.6.2, 0.7.0, 0.7.2, 0.9.0, 0.9.9, 0.10.0, 0.10.1, 0.10.3, PACKAGES.rds, 0.12.1, 0.12.2, 0.13.1, 0.14.0, 0.14.1, 0.14.3, 0.14.6, 0.16.0, 0.16.1, 0.16.2, 1.0.0

Description

Implements fast change point detection algorithm based on the paper "Sequential Gradient Descent and Quasi-Newton's Method for Change-Point Analysis" by Xianyang Zhang, Trisha Dawn <https://proceedings.mlr.press/v206/zhang23b.html>. The algorithm is based on dynamic programming with pruning and sequential gradient descent. See Li and Zhang (2026) <doi:10.18637/jss.v116.i06> for details.

Cites work

fastcpd : Fast Change Point Detection in R

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