We have recently pushed two new FOCuS extensions to arXiv. NP-FOCuS: This is a non-parametric version of FOCuS used to detect a change-in-distribution. The algorithm combines previous ideas that we explored in non-parametric changepoint detection with functional pruning to improve both detection power and computational complexity. It works for a variety of non-standard scenarios and is perfect for cases where the nature is unknown a priori! You can find the preprint here.

Our latest online nonparametric changepoint detection algorithm just appeared in CSDA. An R package implementing the method is available on Github at the following link.

We present a new algorithm for online changepoint detection. A preprint is available on arXiv At this link.