CUSUM change detection for a stream in R

Description

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

Usage

1
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

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