CUSUM_stream_jumpdetect_prechange: CUSUM change detection for a stream in R with known prechange...

Description Usage Arguments Value Author References

View source: R/originalRcodePrechange.R

Description

Original implementation in R of CUSUM change detector, but now expecting the prechange mean and variance to be specified.

Usage

1
CUSUM_stream_jumpdetect_prechange(stream, BL, params, mu0, sigma0)

Arguments

stream

The stream of observations.

BL

The burn-in length - this won't actually be used, but is kept for historical reasons.

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.

mu0

The prechange mean, which is assumed known in this context

sigma0

The prechange standard deviation, which is assumed known in this context

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 29, 2017, 10:33 p.m.