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

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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.

Author
Gordon J. Ross
Date of publication
2015-07-28 00:23:54
Maintainer
Gordon J. Ross <gordon@gordonjross.co.uk>
License
GPL-3
Version
2.2

View on CRAN

Man pages

changeDetected
Tests Whether a CPM S4 Object Has Encountered a Change Point
cpmPackage
The Change Point Model Package
cpmReset
Resets a CPM S4 Object
detectChangePoint
Detect a Single Change Point in a Sequence
detectChangePointBatch
Detect a Single Change Point in a Sequence
ForexData
Foreign Exchange Data
getBatchThreshold
Returns the Threshold Associated with a Type I Error...
getStatistics
Returns the Test Statistics Associated With A CPM S4 Object
makeChangePointModel
Creates a CPM S4 Object
processObservation
Process an Observation Using a CPM S4 Object.
processStream
Detects Multiple Change Points in a Sequence

Files in this package

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