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

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

'CUSUM' change detection for a stream in R with known prechange parameters

Description

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

Usage

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 31, 2023, 7:53 p.m.