BFF_poisson_seq_update: BFF Change Point Detector Sequential Poisson Update

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

BFF Change Point Detector Sequential Poisson Update

Description

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

Usage

BFF_poisson_seq_update(
  data,
  i,
  threshold_val = c(0.05),
  grace_period = 20,
  sw = 2000,
  alpha = 39,
  beta = 1.8,
  post_p = TRUE,
  pred_p = TRUE,
  current_gamma,
  current_lambda,
  N_values_old_old,
  D_values_old_old,
  F_values_old_old,
  N_values_old,
  D_values_old,
  F_values_old,
  alpha_0_prior_value_old,
  beta_0_prior_value_old,
  alpha_0_prior_value,
  beta_0_prior_value,
  anomalous_gamma_threshold_sw,
  anomalous_lambda_threshold_sw,
  p_values_change_gamma,
  p_values_change_lambda,
  anomalous_pred_threshold_sw,
  p_values_change_pred
)

Arguments

data	new data point
i	data point number
threshold_val	vector of thresholds to use to assess whether new data point is a change point
grace_period	period after a change in which changes are not detected
sw	sliding window size for p-value calibration
alpha	alpha parameter for lambda beta prior
beta	beta parameter for lambda beta prior
post_p	to calculate predictive posterior p-values
current_gamma	estimated gamma from previous time
current_lambda	estimated lambda from previous time
N_values_old_old	old old N value
D_values_old_old	old old D value
F_values_old_old	old old F value
N_values_old	old N value
D_values_old	old D value
F_values_old	old F value
alpha_0_prior_value_old	old prior alpha for gamma
beta_0_prior_value_old	old prior beta for gamma
alpha_0_prior_value	prior alpha for gamma
beta_0_prior_value	prior beta for gamma
anomalous_gamma_threshold_sw	current anomalous gamma posterior p-values list
anomalous_lambda_threshold_sw	current anomalous lambda posterior p-values list
p_values_change_gamma	uncalibrated gamma posterior p-values
p_values_change_lambda	uncalibrated lambda posterior p-values
anomalous_pred_threshold_sw	current anomalous predictive posterior p-values list
p_values_change_pred	uncalibrated predictive posterior p-values
data_old	previous data point

Value

return the change points detected by the algorithm for each of the dection procedures, for the different thresholds.

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