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Does anyone know of a simple script for performing the Hinkley-Page Cumulative Sum Algorithm?

Asked by Paul Fishback on 23 May 2013
I'm looking for a basic implementation of the Hinkley-Page Cumulative Sum Algorithm ('CUSUM') for automatic detection of change points in a time series. ("Inference About the Change Point from Cumulative Sum Tests, Biometrika, 58, 1970, 509-523.

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