FFF_stream_jumpdetect_prechange: Change detection using the Fixed Forgetting Factor method,...

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

Change detection using the Fixed Forgetting Factor method, prechange known

Description

Original implementation in R of FFF change detector, but now prechange is known

Usage

FFF_stream_jumpdetect_prechange(stream, BL, ffparams, 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.
ffparams	An unnamed list of parameters for the FFF algorithm. Consists of: lambda The value of the fixed forgetting factor (FFF). Should be in the range [0,1]. p The value of the significance threshold, which was later renamed alpha (in the paper, not in this function). resettozero A flag; if it zero, then the ffmean will be reset to zero after each change. Usually set to 1 (i.e. do not reset). u_init The initial value of u. Should be set to 0. v_init The initial value of v. Should be set to 0. w_init The initial value of w. Should be set to 0. ffmean_init The initial value of the forgetting factor mean, ffmean. Should be set to 0. ffvar_init The initial value of the forgetting factor variance, ffvar. Should be set to 0.
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.