EWMA_stream_jumpdetect_prechange: 'EWMA' change detection for a stream in R with known...

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

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

Description

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

Usage

EWMA_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 'EWMA' algorithm. Consists of r A control parameter which controls the rate of downweighting. L A control parameter which determines the width of the control limits.
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.

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