fastcpd: Fast Change Point Detection via Sequential Gradient Descent

Implements fast change point detection algorithm based on the paper "Sequential Gradient Descent and Quasi-Newton's Method for Change-Point Analysis" by Xianyang Zhang, Trisha Dawn <https://proceedings.mlr.press/v206/zhang23b.html>. The algorithm is based on dynamic programming with pruning and sequential gradient descent. See Li and Zhang (2026) <doi:10.18637/jss.v116.i06> for details.

Version:	1.0.0
Depends:	R (≥ 2.10)
Imports:	glmnet, Matrix, methods, Rcpp (≥ 0.11.0), stats
LinkingTo:	progress, Rcpp, RcppArmadillo, testthat
Suggests:	ggplot2, gridExtra, knitr, matrixStats, mvtnorm, RcppArmadillo, rmarkdown, testthat (≥ 3.0.0), xml2
Published:	2026-06-16
DOI:	10.32614/CRAN.package.fastcpd
Author:	Xingchi Li [aut, cre, cph], Xianyang Zhang [aut, cph]
Maintainer:	Xingchi Li <anthony.li.stat.tamu.edu at lixingchi.com>
BugReports:	https://github.com/doccstat/fastcpd/issues
License:	Apache License (≥ 2)
URL:	https://fastcpd.xingchi.li, https://github.com/doccstat/fastcpd
NeedsCompilation:	yes
Citation:	fastcpd citation info
Materials:	README, NEWS
In views:	TimeSeries
CRAN checks:	fastcpd results

Documentation:

Reference manual:	fastcpd.html , fastcpd.pdf
Vignettes:	Comparison with other R packages (source) Comparison with vanilla PELT (source) Advanced examples (source) Custom logistic regression model (source) Exploration during development (source) Time Complexity Analysis in fastcpd (source)

Downloads:

Package source:	fastcpd_1.0.0.tar.gz
Windows binaries:	r-devel: fastcpd_1.0.0.zip, r-release: fastcpd_1.0.0.zip, r-oldrel: fastcpd_1.0.0.zip
macOS binaries:	r-release (arm64): fastcpd_1.0.0.tgz, r-oldrel (arm64): fastcpd_1.0.0.tgz, r-release (x86_64): fastcpd_1.0.0.tgz, r-oldrel (x86_64): fastcpd_1.0.0.tgz
Old sources:	fastcpd archive

Reverse dependencies:

Reverse suggests:

TemporalModelR

Linking:

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