cpp_detectFFFMeanSinglePrechange: Find the first changepoint in the mean using FFF, assuming...

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

Find the first changepoint in the mean using FFF, assuming prechange known

Description

Given a vector x, a value lambda, a threshold alpha, and values for known prechange mean and variance, returns a list containing the single changepoint. Algorithm is implemented in 'C++'.

Usage

cpp_detectFFFMeanSinglePrechange(
  x,
  lambda,
  alpha,
  prechangeMean,
  prechangeSigma
)

Arguments

x	Vector of numeric values values.
lambda	Value for the fixed forgetting factor in (0,1).
alpha	Value for the significance threshold in (0,1).
prechangeMean	Value of known prechange mean.
prechangeSigma	Value of known prechange standard deviation.

Value

A list with

tauhat

The index of the first changepoint found.

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