cpp_detectCUSUMMeanSingle: Find the first changepoint in the mean using CUSUM In ffstream: Forgetting Factor Methods for Change Detection in Streaming Data

Description

Given a vector `x`, control parameters `k` and `h`, and a burn-in length `BL`, returns a list containing the changepoints. Algorithm is implemented in C++.

Usage

 `1` ```cpp_detectCUSUMMeanSingle(x, k, h, BL) ```

Arguments

 `x` Vector of numeric values values. `k` control parameter for CUSUM `h` control parameter for CUSUM `BL` Value for the burn-in length.

Details

S_{j} = \max{0, S_{j-1} + (x_{j} - μ)/ σ - k}

where μ and σ are, respectively, the mean and variance of the in-control stream, x_j is the observation at time j and k is a control parameter for CUSUM. Then, a change is signalled if S_j > h, where h is the other control parameter. This is the formulation for using CUSUM to detect an increase in the mean; there is a similar formulation for detecting a decrease, and usually CUSUM is two-sided (monitors for an increase and a decrease in the mean).

Value

A list with

`tauhat`

A vector of the changepoints found.

ffstream documentation built on May 29, 2017, 10:33 p.m.