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