cpm: Sequential and Batch Change Detection Using Parametric and Nonparametric Methods

Sequential and batch change detection for univariate data streams, using the change point model framework. Functions are provided to allow nonparametric distribution-free change detection in the mean, variance, or general distribution of a given sequence of observations. Parametric change detection methods are also provided for Gaussian, Bernoulli and Exponential sequences. Both the batch (Phase I) and sequential (Phase II) settings are supported, and the sequences may contain either a single or multiple change points.

AuthorGordon J. Ross
Date of publication2015-07-28 00:23:54
MaintainerGordon J. Ross <gordon@gordonjross.co.uk>
LicenseGPL-3
Version2.2

View on CRAN

Files

cpm
cpm/inst
cpm/inst/CITATION
cpm/src
cpm/src/ChangePointModelMood.cpp
cpm/src/ChangePointModelCVM.h
cpm/src/ChangePointModelFET.h
cpm/src/ChangePointModelPoisson.cpp
cpm/src/ChangePointModelJointNormalAdjusted.h
cpm/src/ChangePointModelLepage.h
cpm/src/ChangePointModelT.h
cpm/src/ChangePointModelWithOrders.cpp
cpm/src/ChangePointModelJointNormalAdjusted.cpp
cpm/src/ChangePointModelKS.cpp
cpm/src/ChangePointModelPoisson.h
cpm/src/ChangePointModelMood.h
cpm/src/ChangePointModelJointNormalHawkins.cpp
cpm/src/ChangePointModelKS.h
cpm/src/ChangePointModelF.h
cpm/src/ChangePointModel.cpp
cpm/src/ChangePointModelWithOrders.h
cpm/src/ChangePointModelWithRanks.cpp
cpm/src/ChangePointModelWithRanks.h
cpm/src/ChangePointModelJointNormal.cpp
cpm/src/ChangePointModelRInterface.cpp
cpm/src/ChangePointModel.h
cpm/src/ChangePointModelF.cpp
cpm/src/ChangePointModelExponential.cpp
cpm/src/ChangePointModelCVM.cpp
cpm/src/ChangePointModelExponential.h
cpm/src/ChangePointModelExponentialAdjusted.h
cpm/src/ChangePointModelT.cpp
cpm/src/ChangePointModelLepage.cpp
cpm/src/ChangePointModelJointNormal.h
cpm/src/ChangePointModelJointNormalHawkins.h
cpm/src/cpmMLE.c
cpm/src/ChangePointModelMW.cpp
cpm/src/ChangePointModelExponentialAdjusted.cpp
cpm/src/ChangePointModelFET.cpp
cpm/src/ChangePointModelMW.h
cpm/NAMESPACE
cpm/data
cpm/data/ForexData.rdata
cpm/R
cpm/R/ChangePointModelBartlett.R cpm/R/ChangePointModelMWMoodLepage.R cpm/R/verifyArguments.R cpm/R/getBatchThreshold.R cpm/R/loadThresholds.R cpm/R/ChangePointModelKS.R cpm/R/processObservation.R cpm/R/ChangePointModelCVM.R cpm/R/processStream.R
cpm/R/sysdata.rda
cpm/R/ChangePointModel.R cpm/R/detectChangePointBatch.R cpm/R/makeChangePointModel.R cpm/R/ChangePointModelStudent.R cpm/R/ChangePointModelFET.R cpm/R/detectChangePoint.R cpm/R/ChangePointModeljoint.R cpm/R/changeDetected.R cpm/R/getStatistics.R cpm/R/cpmReset.R
cpm/MD5
cpm/DESCRIPTION
cpm/man
cpm/man/cpmReset.Rd cpm/man/getBatchThreshold.Rd cpm/man/detectChangePointBatch.Rd cpm/man/ForexData.Rd cpm/man/detectChangePoint.Rd cpm/man/processObservation.Rd cpm/man/cpmPackage.Rd cpm/man/changeDetected.Rd cpm/man/processStream.Rd cpm/man/getStatistics.Rd cpm/man/makeChangePointModel.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.