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SKFCPD: Fast Online Changepoint Detection for Temporally Correlated Data
Sequential Kalman filter for scalable online changepoint detection by temporally correlated data. It enables fast single and multiple change points with missing values. See the reference: Hanmo Li, Yuedong Wang, Mengyang Gu (2023), <arXiv:2310.18611>.
Getting started
Browse package contents
Package details |
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| Author | Hanmo Li [aut, cre], Yuedong Wang [aut], Mengyang Gu [aut] |
| Maintainer | Hanmo Li <hanmo@pstat.ucsb.edu> |
| License | GPL (>= 3) |
| Version | 0.2.4 |
| Package repository | View on CRAN |
| Installation |
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