ffstream: Forgetting Factor Methods for Change Detection in Streaming Data

An implementation of the adaptive forgetting factor scheme described in Bodenham and Adams (2016) <doi:10.1007/s11222-016-9684-8> which adaptively estimates the mean and variance of a stream in order to detect multiple changepoints in streaming data. The implementation is in 'C++' and uses 'Rcpp'. Additionally, implementations of the fixed forgetting factor scheme from the same paper, as well as the classic cumulative sum ('CUSUM') and exponentially weighted moving average ('EWMA') methods, are included.

Package details

AuthorDean Bodenham
MaintainerDean Bodenham <deanbodenhampkgs@gmail.com>
LicenseGPL-2 | GPL-3
Version0.1.7.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("ffstream")

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ffstream documentation built on May 31, 2023, 7:53 p.m.