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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
Browse package contents
Package details |
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| Author | Yudong Chen, Tengyao Wang, Richard J. Samworth |
| Maintainer | Yudong Chen <yudong.chen@statslab.cam.ac.uk> |
| License | GPL-3 |
| Version | 1.1 |
| Package repository | View on CRAN |
| Installation |
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