ocd: High-Dimensional Multiscale Online Changepoint Detection

Implements the algorithm in Chen, Wang and Samworth (2020) <arxiv:2003.03668> for online detection of sudden mean changes in a sequence of high-dimensional observations. It also implements methods by Mei (2010) <doi:10.1093/biomet/asq010>, Xie and Siegmund (2013) <doi:10.1214/13-AOS1094> and Chan (2017) <doi:10.1214/17-AOS1546>.

Getting started

Package details

AuthorYudong Chen, Tengyao Wang, Richard J. Samworth
MaintainerYudong Chen <yudong.chen@statslab.cam.ac.uk>
Package repositoryView on CRAN
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ocd documentation built on Oct. 23, 2020, 5:56 p.m.