View source: R/univariate_mean_online.R
online.univar | R Documentation |
Perform online change point detection with controlled false alarm rate or average run length.
online.univar( y_vec, b_vec = NULL, train_vec = NULL, alpha = NULL, gamma = NULL, permu_num = NULL )
y_vec |
A |
b_vec |
A |
train_vec |
A |
alpha |
A |
gamma |
An |
permu_num |
An |
A list
with the following structure:
cpt_hat |
An |
b_vec |
A |
Haotian Xu
Yu, Padilla, Wang and Rinaldo (2020) <arxiv:2006.03283>
y_vec = rnorm(150) + c(rep(0, 100), rep(1, 50)) train_vec = rnorm(100) # control the false alarm rate temp1 = online.univar(y_vec = y_vec, train_vec = train_vec, alpha = 0.05, permu_num = 20) temp1$cpt_hat temp1$b_vec # calibrated threshold
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