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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.
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Package details |
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| Author | Georg Hahn [aut,cre] |
| Maintainer | Georg Hahn <ghahn@hsph.harvard.edu> |
| License | GPL (>= 2) |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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