Nonparametric multiple changepoint detection for multivariate data

In this project, I provide a python implementation of the divisive algorithm from an excellent non-parametric changepoint detection paper below.

Matteson, David S., and Nicholas A. James. "A nonparametric approach for multiple change point analysis of multivariate data." Journal of the American Statistical Association 109.505 (2014): 334-345. - ArXiv

The authors of the paper have provided an R package with extra algorithms discussed in the paper - GitHub

I also provide a Jupyter notebook evaluating the algorithm on synthetic dataset.