onlineCPD: Detect Changepoints in Multivariate Time Series

Detects multiple changepoints in uni- or multivariate time series data. The algorithm is based on Bayesian methods and detects changes on-line; i.e. the model updates with every observation rather than relying on retrospective segmentation. However, the user may choose to use the algorithm off- or on-line.

Package details

AuthorZachary Zanussi <[email protected]>
MaintainerZachary Zanussi <[email protected]>
Package repositoryView on CRAN
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onlineCPD documentation built on Jan. 15, 2017, 7:22 p.m.