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.
|Author||Georg Hahn [aut,cre]|
|Maintainer||Georg Hahn <email@example.com>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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