CUSUM_stream_jumpdetect {ffstream} | R Documentation |
Original implementation in R of CUSUM change detector, now with documentation.
CUSUM_stream_jumpdetect(stream, BL, params)
stream |
The stream of observations. |
BL |
The burn-in length, used to estimate the mean and variance. |
params |
A list of parameters for the CUSUM algorithm. Consists of
|
A vector of estimated changepoints.
Dean Bodenham
D. A. Bodenham and N. M. Adams (2016) Continuous monitoring for changepoints in data streams using adaptive estimation. Statistics and Computing doi:10.1007/s11222-016-9684-8