Has anyone used Mathematica for change point analysis? I am looking for functionality similar to the “changepoint” package available in "R specifically the “Binary Segmentation” and PELT methods.
Library.wolfram.com is a common place to look for libraries in addition to searching online. I looked quickly, but didn’t see anything. I’m not famliar with this area. It’s possible that it could be implemented easily enough that there hasn’t been a need to write a library for it.
Generally, if some kind of statistical analysis isn’t common (my rule of thumb is whether it has a wikipedia article or not), then you may not find it in Mathematica and will want to use RLink to run the R library from Mathematica:
https://reference.wolfram.com/mathematica/RLink/guide/RLink.html