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 <email@example.com>|
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