Description Usage Arguments Value References
This function implements the getData
function to
perform the online changepoint detection for the 'OCD' class.
1 | ocd_update(x_new, A, tail, beta, sparsity)
|
x_new |
a new data point |
A |
matrix of tail CUSUMs that will be tracked and updated online |
tail |
matrix of tail lengths that will be tracked and updated online |
beta |
a user specified lower bound on the l_2 norm of the vector of change to be detected. |
sparsity |
a user specified mode parameter. If the vector of change is known to be dense or sparse, then one should set sparsity to 'dense' or 'sparse' accordingly, otherwise, the default choice sparsity='auto' will run the algorithm adaptive to the sparsity level. |
a list of
stat: a vector of the test statistics for the 'OCD' class
A: the updated A matrix
tail: the updated tail matrix
Chen, Y., Wang, T. and Samworth, R. J. (2020) High-dimensional multiscale online changepoint detection Preprint. arxiv:2003.03668.
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