Pettitt突变点检测(python)

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该算法依据Pettitt突变检测相关理论以及R代码。不过。。。。。。没有P值(R中的P值是通过蒙特卡洛方法估计,该方法是封装的)

import numpy as np
import pandas as pd


def Pettitt_change_point_detection(inputdata):
    inputdata = np.array(inputdata)
    n         = inputdata.shape[0]
    k = range(n)
    inputdataT = pd.Series(inputdata)
    r = inputdataT.rank()
    Uk = [2*np.sum(r[0:x])-x*(n + 1) for x in k]
    Uka = list(np.abs(Uk))
    U = np.max(Uka)
    K = Uka.index(U)
    pvalue         = 2 * np.exp((-6 * (U**2))/(n**3 + n**2))
    if pvalue <= 0.05:
        change_point_desc = '显著'
    else:
        change_point_desc = '不显著'
    #Pettitt_result = {'突变点位置':K,'突变程度':change_point_desc}
    return K #,Pettitt_result

测试(同样是对比):

dt = [2413.291, 2201.967, 2363.555, 2086.259, 2070.092, 2242.442, 3091.346, 1326.768, 1595.619, 1631.493, 1797.879, 2044.798, 1904.171, 1746.416, 1875.368 ,1826.619, 1853.982, 1887.834, 1802.647 ,1783.050,1925.268, 1777.375, 1970.239 ,1782.715]
plt.plot(dt)
plt.plot([0,5],[np.mean(dt[0:6]),np.mean(dt[0:6])],'m--',color='r')
plt.plot([7,23],[np.mean(dt[7:]),np.mean(dt[7:])],'m--',color='r')
print("Mann-Kendall:",Kendall_change_point_detection(dt))
print("Pettitt:",Pettitt_change_point_detection(dt))
print("Buishand U Test:",Buishand_U_change_point_detection(dt))
print("Standard Normal Homogeneity Test (SNHT):",SNHT_change_point_detection(dt))

这里写图片描述

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转载自blog.csdn.net/u012111465/article/details/82017268