Description Slots References Examples
Provides method "addData" to add new incoming data for one or more time points, "checkCpt" to test for a changepoint, "lastCptTest" to query the last test result of the function "checkCpt", and "resetAlgorithm" to reset the algorithm in order to detect a new changepoint.
spending_sequence
A function handle which returns a testing level used in multiple testing.
data
Environment variable to store incoming data as a matrix.
T
The current time point.
S
Internal variable of the algorithm (modified cusum statistic).
s
Internal variable of the algorithm (modified cusum statistic).
nTest
Internal variable of the algorithm (counter for the multiple testing correction).
lastCptTest
Internal variable to store the last test result, which can be queried with a member function.
Hahn, G. (2021). Online multivariate changepoint detection with type I error control and constant time/memory updates per series. Under review.
1 2 3 4 5 | library(fastOnlineCpt)
alpha <- 0.01
halfspent <- 100
spending_sequence <- function(n) { (n/(n+halfspent) - (n-1)/(n-1+halfspent)) * alpha }
obj <- fastOnlineCpt(spending_sequence)
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