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Mongodb + PELT + nag4py

PELT changepoint analysis for a mongodb stock price collection using nag4py.

Introduction

This repository containts several files, which, when combined, give an example of detecting changepoints in a stock price where the data has come from a mongodb collection. The three key components of this example are:

  • mongodb Python API - pymongo
  • Killick et al's PELT algorithm for changepoint detection in n time.
  • nag4py which allows one to easily call the PELT algorithm.