cpp_detectEWMAMeanSingle {ffstream} | R Documentation |
Given a vector x
, control parameters r
and L
,
and a burn-in length BL
, returns a list containing the changepoints.
Algorithm is implemented in C++.
cpp_detectEWMAMeanSingle(x, r, L, BL)
x |
Vector of numeric values values. |
r |
control parameter for EWMA. Must be in range [0,1]. |
L |
control parameter for EWMA. |
BL |
Value for the burn-in length. |
EWMA updates via:
Z_{j} = (1-r) Z_{j-1} + r x_{j}
where μ is the mean of the in-control stream, x_j is the observation at time j and r is a control parameter for EWMA. Then, a change is signalled if
|Z_j - μ| > L σ_{Z_j}
, where L is the other control parameter, and σ_{Z_j} is a scaled version of the in-control variance σ. This is the formulation for using EWMA to detect an increase or decrease in the mean.
A list with
tauhat
A vector of the changepoints found.