addData-methods: Add new p-dimensional data point, where p is the number of...

In fastOnlineCpt: Online Multivariate Changepoint Detection

Description

Add new p-dimensional data point, where p is the number of time series being monitored.

Usage

addData(obj, data)

## S4 method for signature 'fastOnlineCpt'
addData(obj, data)

Arguments

obj	An object of the class "fastOnlineCpt".
data	The new data of dimension n \times p to be added, where n is the number of new time points being added.

Value

An object of the class "fastOnlineCpt".

References

Hahn, G. (2021). Online multivariate changepoint detection with type I error control and constant time/memory updates per series. Under review.

Examples

library(fastOnlineCpt)
alpha <- 0.01
halfspent <- 100
spending_sequence <- function(n) { (n/(n+halfspent) - (n-1)/(n-1+halfspent)) * alpha }
obj <- fastOnlineCpt(spending_sequence)
p <- 10
n <- 50
data <- matrix(rnorm(p*n,mean=0),ncol=n)
obj <- addData(obj,data)

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