CUSUM_stream_jumpdetect: 'CUSUM' change detection for a stream in R

In ffstream: Forgetting Factor Methods for Change Detection in Streaming Data

'CUSUM' change detection for a stream in R

Description

Original implementation in R of 'CUSUM' change detector, now with documentation.

Usage

CUSUM_stream_jumpdetect(stream, BL, params)

Arguments

stream	The stream of observations.
BL	The burn-in length, used to estimate the mean and variance.
params	A list of parameters for the 'CUSUM' algorithm. Consists of d A control parameter also known as k. B A control parameter also known as h.

Value

A vector of estimated changepoints.

Author

Dean Bodenham

References

D. A. Bodenham and N. M. Adams (2016) Continuous monitoring for changepoints in data streams using adaptive estimation. Statistics and Computing doi:10.1007/s11222-016-9684-8

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