Buishand U test突变点检测（python）

版权声明：本文为博主原创文章，未经博主允许不得转载。 https://blog.csdn.net/u012111465/article/details/82017294

import numpy as np
import pandas as pd


def Buishand_U_change_point_detection(inputdata):
    inputdata = np.array(inputdata)
    inputdata_mean = np.mean(inputdata)
    n  = inputdata.shape[0]
    k = range(n)
    Sk = [np.sum(inputdata[0:x+1] - inputdata_mean) for x in k]
    sigma = np.sqrt(np.sum((inputdata-np.mean(inputdata))**2)/(n-1))
    U = np.sum((Sk[0:(n - 2)]/sigma)**2)/(n * (n + 1))
    Ska = np.abs(Sk)
    S = np.max(Ska)
    K = list(Ska).index(S) + 1
    Skk = (Sk/sigma)
    return K