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.

Install the latest version of this package by entering the following in R:
install.packages("cpm")
AuthorGordon J. Ross
Date of publication2015-07-28 00:23:54
MaintainerGordon J. Ross <gordon@gordonjross.co.uk>
LicenseGPL-3
Version2.2

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Files

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