changepoint_regimes: 4 tools.
| Tool | What it does | Notes |
|---|---|---|
changepoint_return_regimes | Splits an asset’s return history into regimes of volatility (default), mean return or whole distribution; several assets are segmented jointly (covariance and correlation regimes). | |
changepoint_regression_breaks | Finds where the coefficients of a linear regression of y on x change: least squares per segment with the breaks chosen to minimise the total squared error (multiple structural breaks). | |
changepoint_ar_breaks | Finds where the autoregressive dynamics of one series change: an AR(order) with intercept fitted per segment, breaks minimising the total squared one-step error. | |
changepoint_trend_breaks | Fits a piecewise-linear trend to one series and finds where its slope changes: continuous (the trend bends; the fit runs through each segment’s end points) or with a level jump at each break (least squares per segment). |
fincept_describe_tool.