cpp_detectEWMAMeanSinglePrechange | R Documentation |
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++'.
cpp_detectEWMAMeanSinglePrechange(x, r, L, prechangeMean, prechangeSigma)
x |
Vector of numeric values values. |
r |
control parameter for EWMA. Must be in range |
L |
control parameter for EWMA. |
BL |
Value for the burn-in length. |
'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.
A list with
tauhat
A vector of the changepoints found.
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