cpt.meanvar return cost value? about changepoint HOT 3 OPEN

To avoid calculating variances on segments which do not vary there is a catch in the code whereby if a negative variance is estimated then the returned variance is replaced with a value very close to 0 (just within machine precision). This is to avoid a division by 0 in the likelihood - as you point out.

The minseglen=2 minimum is because we are estimating two parameters per segment, the mean and the variance. Thus we need at least two data points to do this.

The cost function is the same for all search methods so this would affect them all.

from changepoint.

Thinking about this more there are legitimate reasons to have a segment with a variance of 0, where all values are equal. This could be for a small length, in which case you likely don't want it identified as a changepoint but could also be longer lengths (I'm looking at some data which is rounded and so we do get runs of the same value). I personally think that this should be handled by the user and not the algorithm. Therefore I think a warning by the changepoint methods when we have sequential observations with the same value should suffice.

from changepoint.

I agree that a warning would be a step in the right direction.

from changepoint.