cpp_detectEWMAMeanSingle: Find the first changepoint in the mean using EWMA

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

Find the first changepoint in the mean using EWMA

Description

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

Usage

cpp_detectEWMAMeanSingle(x, r, L, BL)

Arguments

x	Vector of numeric values values.
r	control parameter for EWMA. Must be in range [0,1].
L	control parameter for EWMA.
BL	Value for the burn-in length.

Details

'EWMA' updates via:

Z_{j} = (1-r) Z_{j-1} + r x_{j}

where \mu is the mean of the in-control stream, x_j is the observation at time j and r is a control parameter for EWMA. Then, a change is signalled if

|Z_j - \mu| > L \sigma_{Z_j}

, where L is the other control parameter, and \sigma_{Z_j} is a scaled version of the in-control variance \sigma. This is the formulation for using 'EWMA' to detect an increase or decrease in the mean.

Value

A list with

tauhat

A vector of the changepoints found.

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