I'm looking for a Python module that performs a change-point analysis on a time-series. There are a number of different algorithms and I'd like to explore the efficacy of some of them without having to hand-roll each of the algorithms.
I'm surprised that there aren't any facilities in:
- statsmodels.tsa: Time series statistical analysis tools
- scikits.timeseries: Time series analysis tools to extend scipy
- scipy.signal: signal processing tools in scipy
Are there any modules with change point detection algorithms in Python?