focus and focus-cpt: Fast Online Changepoint Detection in R and Python

We present an R and Python package for fast online changepoint detection in univariate and multivariate data streams for a variety of models.

The package implements the focus family of algorithms, which compute the Generalised Likelihood Ratio test for a single changepoint exactly and efficiently, with a per-iteration cost of approximately $\log(n)^d$ for a d-dimensional sequence, without introducing approximations.

This is achieved by exploiting a connection between the location of the changepoint candidates and the geometry of the data.

The package supports a broad range of models from the natural exponential family, including Gaussian, Poisson, Binomial, Exponential and Gamma distributions, as well as a non-parametric detector based on the empirical cumulative distribution function and a detector for autoregressive data.