mean_cov_score#

mean_cov_score(precomputed_params: ndarray, starts: ndarray, ends: ndarray, splits: ndarray) ndarray[source]#

Calculate likelihood ratio scores for a change in mean and covariance [1].

Parameters:
precomputed_paramsTuple[np.ndarray, np.ndarray, np.ndarray]

Precomputed parameters from init_covariance_score.

startsnp.ndarray

Start indices of the intervals to test for a change in the covariance.

endsnp.ndarray

End indices of the intervals to test for a change in the covariance.

splitsnp.ndarray

Split indices of the intervals to test for a change in the covariance.

Returns:
scoresnp.ndarray

Scores for each start, end, split combination.

References

[1]

Zamba, K. D., & Hawkins, D. M. (2009). A Multivariate Change-Point Model for Change in Mean Vector and/or Covariance Structure. Journal of Quality Technology, 41(3), 285-303.