BayesChange Tutorial

Here we provide a brief tutorial of the BayesChange package. The BayesChange package contains two main functions: one that performs change points detection on time series and epidemic diffusions and one that perform clustering of time series and epidemic diffusions with common change points. Here we briefly show how to implement these.

library(BayesChange)

Detecting change points

The function detect_cp provide a method for detecting change points, it is based on the work Martínez and Mena (2014) and on Corradin et al. (2024)

Depending on the structure of the data, detect_cp might perform change points detection on univariate time series or multivariate time series. We import dataset eu_inflation that contains the standardized monthly inflation rates from the Harmonized Index of Consumer Prices (HICP) for the 12 COICOP expenditure categories across European Union countries. The data span the period from February~1997 to December~2024 resulting in a matrix of \(12\) rows and \(355\) columns.

data("eu_inflation")

Now we can run the function detect_cp, as arguments of the function we need to specify the number of iterations, the number of burn-in steps and a list with the the autoregressive coefficient phi for the likelihood of the data, the parameters a, b, c for the priors and the probability q of performing a split at each step. Since we deal with time series we need also to specify kernel = "ts".

out <- detect_cp(data = eu_inflation[1,],
                 n_iterations = 2000, n_burnin = 500, q = 0.5,
                 params = list(prior_var_phi = 0.1, prior_delta_c = 1, prior_delta_d = 1), kernel = "ts")
#> Completed:   200/2000 - in 0.051857 sec
#> Completed:   400/2000 - in 0.09881 sec
#> Completed:   600/2000 - in 0.145131 sec
#> Completed:   800/2000 - in 0.191942 sec
#> Completed:   1000/2000 - in 0.242867 sec
#> Completed:   1200/2000 - in 0.293775 sec
#> Completed:   1400/2000 - in 0.345333 sec
#> Completed:   1600/2000 - in 0.400354 sec
#> Completed:   1800/2000 - in 0.457282 sec
#> Completed:   2000/2000 - in 0.514515 sec

With the methods print and summary we can get information about the algorithm.

print(out)
#> DetectCpObj object
#> Type: change points detection on univariate time series
summary(out)
#> DetectCpObj object
#> Change point detection summary:
#>  - Data: univariate time series
#>  - Burn-in iterations: 500 
#>  - MCMC iterations: 1500 
#>  - Average number of detected change points: 8.15 
#>  - Computational time: 0.51 seconds
#>  
#> Use plot() for a detailed visualization or posterior_estimate() to analyze the detected change points.

In order to get a point estimate of the change points we can use the method posterior_estimate that uses the method salso by David B. Dahl and Müller (2022) to get the final latent order and then detect the change points.

cp_est <- posterior_estimate(out, loss = "binder")
cumsum(table(cp_est))[-length(table(cp_est))] + 1
#>   1   2   3   4   5   6   7   8 
#>  49 130 144 300 303 307 320 325

The package also provides a method for plotting the change points.

plot(out, loss = "binder")

We can assess convergence of the latent order posterior chain, for example, by inspecting the traceplot of its log-likelihood with coda::traceplot.

coda::traceplot(out$lkl_MCMC, ylab = "Log-Likelihood")

If we instead consider a matrix of data, detect_cp automatically performs a multivariate change points detection method. We define the parameters.

params_multi <- list(m_0 = rep(0,3),
                     k_0 = 1,
                     nu_0 = 10,
                     S_0 = diag(0.1,3,3),
                     prior_var_phi = 0.1,
                     prior_delta_c = 1,
                     prior_delta_d = 1)

Arguments k_0, nu_0, phi_0, m_0, prior_delta_c, prior_delta_d and prior_var_phi correspond to the parameters of the prior distributions for the multivariate likelihood.

out <- detect_cp(data = eu_inflation[1:3,], n_iterations = 2000,
          n_burnin = 500, q = 0.5, params = params_multi, kernel = "ts")
#> Completed:   200/2000 - in 0.064895 sec
#> Completed:   400/2000 - in 0.129988 sec
#> Completed:   600/2000 - in 0.193768 sec
#> Completed:   800/2000 - in 0.258857 sec
#> Completed:   1000/2000 - in 0.324145 sec
#> Completed:   1200/2000 - in 0.38905 sec
#> Completed:   1400/2000 - in 0.453762 sec
#> Completed:   1600/2000 - in 0.518529 sec
#> Completed:   1800/2000 - in 0.584029 sec
#> Completed:   2000/2000 - in 0.648342 sec

table(posterior_estimate(out, loss = "binder"))
#> Warning in salso::salso(mcmc_chain, loss = "binder", maxNClusters =
#> maxNClusters, : The number of clusters equals the default maximum possible
#> number of clusters.
#> 
#>   1   2   3   4   5 
#>  41 135 102  24  34
plot(out, loss = "binder", plot_freq = TRUE)
#> Warning in salso::salso(mcmc_chain, loss = "binder", maxNClusters =
#> maxNClusters, : The number of clusters equals the default maximum possible
#> number of clusters.

Function detect_cp can also be used to detect change points on survival functions. We consider the synthetic dataset epi_synthetic

data("epi_synthetic")

To run detect_cp on epidemiological data we need to set kernel = "epi". Moreover, besides the usual parameters, we need to set the number of Monte Carlo replications M for the approximation of the integrated likelihood and the recovery rate xi. a0 and b0 are optional and correspond to the parameters of the gamma distribution for the integration of the likelihood.

params_epi <- list(M = 250, xi = 1/8, a0 = 4, b0 = 10, I0_var = 0.1)

out <- detect_cp(data = epi_synthetic, n_iterations = 2000, n_burnin = 500,
                 q = 0.25, params = params_epi, kernel = "epi")
#> Completed:   200/2000 - in 3.70252 sec
#> Completed:   400/2000 - in 7.45532 sec
#> Completed:   600/2000 - in 11.1724 sec
#> Completed:   800/2000 - in 14.9114 sec
#> Completed:   1000/2000 - in 18.6737 sec
#> Completed:   1200/2000 - in 22.4179 sec
#> Completed:   1400/2000 - in 26.1544 sec
#> Completed:   1600/2000 - in 29.8711 sec
#> Completed:   1800/2000 - in 33.5854 sec
#> Completed:   2000/2000 - in 37.3079 sec

print(out)
#> DetectCpObj object
#> Type: change points detection on an epidemic diffusion

Also here, with function plot we can plot the survival function and the position of the change points.

plot(out)

Clustering time dependent data with common change points

BayesChange contains another function, clust_cp, that cluster respectively univariate and multivariate time series and survival functions with common change points. Details about this methods can be found in Corradin et al. (2026)

In clust_cp the argument kernel must be specified, if data are time series then kernel = "ts" must be set. Then the algorithm automatically detects if data are univariate or multivariate.

We consider for this example dataset stock_uni that contains the daily mean stock prices for the 50 largest companies (by market capitalization) in the Standard&Poor’s 500 Index from January 1, 2020 to January 1, 2022.

data("stock_uni")

Arguments that need to be specified in clust_cp are the number of iterations n_iterations, the number of elements in the normalisation constant B, the split-and-merge step L performed when a new partition is proposed and a list with the parameters of the algorithm, the likelihood and the priors..

params_uni <- list(a = 1,
                   b = 1,
                   c = 1,
                   phi = 0.1)

out <- clust_cp(data = stock_uni[1:5,], n_iterations = 2000, n_burnin = 500,
                L = 1, q = 0.5, B = 1000, params = params_uni, kernel = "ts")
#> Normalization constant - completed:  100/1000 - in 0.023601 sec
#> Normalization constant - completed:  200/1000 - in 0.047735 sec
#> Normalization constant - completed:  300/1000 - in 0.073459 sec
#> Normalization constant - completed:  400/1000 - in 0.096914 sec
#> Normalization constant - completed:  500/1000 - in 0.122154 sec
#> Normalization constant - completed:  600/1000 - in 0.143419 sec
#> Normalization constant - completed:  700/1000 - in 0.168642 sec
#> Normalization constant - completed:  800/1000 - in 0.191786 sec
#> Normalization constant - completed:  900/1000 - in 0.217275 sec
#> Normalization constant - completed:  1000/1000 - in 0.24337 sec
#> 
#> ------ MAIN LOOP ------
#> 
#> Completed:   200/2000 - in 0.463446 sec
#> Completed:   400/2000 - in 0.886055 sec
#> Completed:   600/2000 - in 1.29541 sec
#> Completed:   800/2000 - in 1.69852 sec
#> Completed:   1000/2000 - in 2.10585 sec
#> Completed:   1200/2000 - in 2.52251 sec
#> Completed:   1400/2000 - in 2.97228 sec
#> Completed:   1600/2000 - in 3.40179 sec
#> Completed:   1800/2000 - in 3.83071 sec
#> Completed:   2000/2000 - in 4.24771 sec

posterior_estimate(out, loss = "binder")
#> [1] 1 2 3 4 1

Method plot for clustering univariate time series represents the data colored according to the assigned cluster.

plot(out, loss = "binder")

Method plot_psm shows the posterior similarity matrix of the clustering. Selecting reorder = TRUE we can choose to order the matrix depending on the clustering obtained.

plot_psm(out, reorder = TRUE)

If time series are multivariate, data must be an array, where each element is a multivariate time series represented by a matrix. Each row of the matrix is a component of the time series. Here we use dataset stock_multi that contains for each company the daily opening and closing stock prices.

data("stock_multi")
params_multi <- list(m_0 = rep(0,2),
                     k_0 = 1,
                     nu_0 = 10,
                     S_0 = diag(1,2,2),
                     phi = 0.1)

out <- clust_cp(data = stock_multi[,,1:5], n_iterations = 2500, n_burnin = 500,
                L = 1, B = 1000, params = params_multi, kernel = "ts")
#> Normalization constant - completed:  100/1000 - in 0.021032 sec
#> Normalization constant - completed:  200/1000 - in 0.042163 sec
#> Normalization constant - completed:  300/1000 - in 0.063583 sec
#> Normalization constant - completed:  400/1000 - in 0.08472 sec
#> Normalization constant - completed:  500/1000 - in 0.105864 sec
#> Normalization constant - completed:  600/1000 - in 0.126663 sec
#> Normalization constant - completed:  700/1000 - in 0.147822 sec
#> Normalization constant - completed:  800/1000 - in 0.169193 sec
#> Normalization constant - completed:  900/1000 - in 0.190249 sec
#> Normalization constant - completed:  1000/1000 - in 0.21134 sec
#> 
#> ------ MAIN LOOP ------
#> 
#> Completed:   250/2500 - in 0.497621 sec
#> Completed:   500/2500 - in 0.966892 sec
#> Completed:   750/2500 - in 1.43868 sec
#> Completed:   1000/2500 - in 1.93407 sec
#> Completed:   1250/2500 - in 2.41148 sec
#> Completed:   1500/2500 - in 2.88767 sec
#> Completed:   1750/2500 - in 3.37836 sec
#> Completed:   2000/2500 - in 3.87905 sec
#> Completed:   2250/2500 - in 4.36701 sec
#> Completed:   2500/2500 - in 4.85635 sec

posterior_estimate(out, loss = "binder")
#> [1] 1 2 3 1 1
plot(out, loss = "binder")

Finally, if we set kernel = "epi", clust_cp cluster survival functions with common change points. Also here details can be found in Corradin et al. (2026)

Data are a matrix where each row is the number of infected at each time. Inside this package is included the dataset epi_synthetic_multi with multivariate synthetic epidemic diffusions.

data("epi_synthetic_multi")

params_epi <- list(M = 100, xi = 1/8,
                   alpha_SM = 1,
                   a0 = 4,
                   b0 = 10,
                   I0_var = 0.1,
                   avg_blk = 2)

out <- clust_cp(epi_synthetic_multi[,10:150], n_iterations = 2000, n_burnin = 500,
                L = 1, B = 1000, params = params_epi, kernel = "epi")

posterior_estimate(out, loss = "binder")
plot(out, loss = "binder")
Corradin, Riccardo, Luca Danese, Wasiur R. KhudaBukhsh, and Andrea Ongaro. 2024. Model-Based Clustering of Time-Dependent Observations with Common Structural Changes. https://arxiv.org/abs/2410.09552.
Corradin, Riccardo, Luca Danese, Wasiur R. KhudaBukhsh, and Andrea Ongaro. 2026. “Model-Based Clustering of Time-Dependent Observations with Common Structural Changes.” Statistics and Computing 36 (1): 7. https://doi.org/10.1007/s11222-025-10756-x.
David B. Dahl, Devin J. Johnson, and Peter Müller. 2022. “Search Algorithms and Loss Functions for Bayesian Clustering.” Journal of Computational and Graphical Statistics 31 (4): 1189–201. https://doi.org/10.1080/10618600.2022.2069779.
Martínez, Asael Fabian, and Ramsés H. Mena. 2014. “On a Nonparametric Change Point Detection Model in Markovian Regimes.” Bayesian Analysis 9 (4): 823–58. https://doi.org/10.1214/14-BA878.