fastOnlineCpt: Online Multivariate Changepoint Detection

Implementation of a simple algorithm designed for online multivariate changepoint detection of a mean in sparse changepoint settings. The algorithm is based on a modified cusum statistic and guarantees control of the type I error on any false discoveries, while featuring O(1) time and O(1) memory updates per series as well as a proven detection delay.

Getting started

Package details

AuthorGeorg Hahn [aut,cre]
MaintainerGeorg Hahn <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the fastOnlineCpt package in your browser

Any scripts or data that you put into this service are public.

fastOnlineCpt documentation built on July 9, 2021, 9:08 a.m.