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.

AuthorZachary Zanussi <zachary9506@gmail.com>
Date of publication2016-08-23 20:00:17
MaintainerZachary Zanussi <zachary9506@gmail.com>
LicenseGPL-3
Version1.0

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