In PursuitOfDataScience/ggchangepoint: Combines Changepoint Analysis with 'ggplot2'

knitr::opts_chunk$set(
  collapse = TRUE,
  fig.width = 8, 
  fig.height = 5,
  message = FALSE,
  warning = FALSE,
  comment = "#>"
)

There are a number of changepoint detection packages in R. These packages have various APIs and sometimes it is difficult to compare the changepoints detected by various packages on the same data. Moreover, visualizing these changepoints along with the raw data is not connected to ggplot2. What the ggchangepoint package does is it combines a few functions from several changepoint packages together and offers the ggplot2 style changepoint plots.

In this introduction, all the data sets used are the same as @killick2014changepoint starting from the Section 4.1, and all the variables are defined the same as the reference. Instead of following the authors' code, we use ggchangepoint to carry out all the analysis, and users can make reasonable comparisons.

library(ggchangepoint)
library(ggplot2)
theme_set(theme_light())

Changes in mean

set.seed(10)
m.data <- c(rnorm(100, 0, 1), 
            rnorm(100, 1, 1), 
            rnorm(100, 0, 1),
            rnorm(100, 0.2, 1))

Using PELT as the changepoint method:

m.pelt <- cpt_wrapper(m.data, change_in = "mean", cp_method = "PELT")

m.pelt

ggcptplot(m.data, change_in = "mean", cp_method = "PELT") +
  labs(title = "Changes in mean (PELT)")

Using BinSeg as the changepoint method:

m.binseg <- cpt_wrapper(m.data, change_in = "mean", cp_method = "BinSeg")

m.binseg

ggcptplot(m.data, change_in = "mean", cp_method = "BinSeg") +
  labs(title = "Changes in mean (BinSeg)")

PELT with penalty = "Manual":

m.pm <- cpt_wrapper(m.data, 
                    change_in = "mean", 
                    penalty = "Manual", 
                    pen.value = "1.5 * log(n)")

m.pm

ggcptplot(m.data, 
          change_in = "mean", 
          penalty = "Manual", 
          pen.value = "1.5 * log(n)",
          cptline_color = "red",
          cptline_size = 2) +
  labs(title = "Changes in mean (PELT with Manual penalty)")

BinSeg with penalty = "Manual":

m.bsm <- cpt_wrapper(m.data, 
                     change_in = "mean", 
                     cp_method = "BinSeg",
                     penalty = "Manual", 
                     pen.value = "1.5 * log(n)")

m.bsm

ggcptplot(m.data, 
          change_in = "mean", 
          cp_method = "BinSeg",
          penalty = "Manual", 
          pen.value = "1.5 * log(n)",
          cptline_size = 2) +
  labs(title = "Changes in mean (BinSeg with Manual penalty)")

Since @killick2014changepoint used a data set from @lai2005comparative about genomic hy- bridization (aCGH). Here we also use the data set:

data("Lai2005fig4", package = "changepoint")

cpt_wrapper(Lai2005fig4$GBM29, change_in = "mean")

And we can quickly visualize it:

ggcptplot(Lai2005fig4$GBM29, change_in = "mean") +
  labs(title = "GBM29 Changes in mean (PELT)")

We can also use ecp_wrapper() to carry out the similar task on the data:

set.seed(2022)
ecp_wrapper(Lai2005fig4$GBM29)

set.seed(2022)
ggecpplot(Lai2005fig4$GBM29) +
  labs(title = "GBM29 Changes using the ecp package")

We can use ggcptplot() to detect and visualize changepoints detected by various functions. Otherwise, various packages need to be used.

Changes in variance

@killick2014changepoint referenced the Irish wind speeds data set, which has previously been analyzed by @haslett1989space and @gneiting2006geostatistical. It is a data set from the gstat package.

data("wind", package = "gstat")

wind.bs <- cpt_wrapper(diff(wind[, 11]), change_in = "var", cp_method = "BinSeg")

wind.bs

ggcptplot(diff(wind[, 11]), change_in = "var", cp_method = "BinSeg")

There is only one changepoint detected in the data.

Changes in mean and variance

Since cpt.meanvar() is the default setting of cpt_wrapper(). There will be no extra specification in the change_in argument.

data("discoveries", package = "datasets")

dis.pelt <- cpt_wrapper(discoveries, test.stat = "Poisson")

dis.pelt

ggcptplot(discoveries, test.stat = "Poisson",
          cptline_color = "red",
          cptline_size = 2) +
  ggtitle("The Discoveries dataset with identified changepoints (PELT)")

ggcptplot(discoveries, test.stat = "Poisson",
          cp_method = "BinSeg",
          cptline_color = "red",
          cptline_size = 2) +
  ggtitle("The Discoveries dataset with identified changepoints (BinSeg)")