BFF_gaussian_predictive_paramest: BFF Change Point Detector and Parameter Estimator using...

In elizabethriddle/BFF: Sequential Adaptive Parameter Estimation and Change Point Detection

BFF Change Point Detector and Parameter Estimator using Predictive Posterior P-Values for Gaussian Data

Description

Detects change points within data stream sequentially using a Bayesian adaptive estimation procedure and predictive posterior p-values. Additionally estimates parameters

Usage

BFF_gaussian_predictive_paramest(
  data,
  threshold_val = 0.05,
  burnin = 200,
  grace_period = 20,
  alpha = 39,
  beta = 1.8,
  sw = 2000
)

Arguments

data	data stream to perform change point detection on
threshold_val	vector of thresholds to use to assess whether new data point is a change point
burnin	the intial period to use to build the model on which no change points are detected
grace_period	period after a change in which changes are not detected
alpha	alpha parameter for lambda beta prior
beta	beta parameter for lambda beta prior
sw	sliding window size for p-value calibration

Value

return the change points detected by the algorithm for each of the dection procedures, for the different thresholds. Collects p-values and model parameter estimates.

elizabethriddle/BFF documentation built on April 4, 2022, 11:51 a.m.