Add Multivariate (E)SST to the available algorithms by Lucew · Pull Request #7 · Lucew/changepoynt

Lucew · 2026-06-09T13:34:43Z

This merge adds:

Fast decomposition of Block Hankel matrices (with FFT)
Multivariate versions of SST and ESST (MSST and MESST
Tests for both MSST and MESST
A new weighted SST, where the score is computed along multiple future values with weighting by the singular value

…tion

…uct Block Hankel matrix, add those to the tests

Lucas added 12 commits April 29, 2026 18:52

add messt and block matrix linear algebra

cd6aa5d

add own rsvd implementation to tests and improve test matrix construc…

d1671ef

…tion

update typing info to stay compatible to python 3.9

69904d2

improve the block linalg utilities with a base class and add the Prod…

36ad67c

…uct Block Hankel matrix, add those to the tests

improve test signal

f2ad8e3

add multivariate SST (MSST) with tests

5e8c06e

fix bug with ika-msst, where the initial future vector was too small

d34d7b5

add some smoke tests to msst and messt tests that simply run the methods

9f89978

add symmetric sst score

755d1cf

allow fast Hankel for symmetric scoring

a87c9be

fix scoring of symmetric

81c53b6

add multivariate SST

118acca

Lucew temporarily deployed to release June 9, 2026 13:38 — with GitHub Actions Inactive

Lucew merged commit 687a828 into master Jun 9, 2026
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