EWMA_stream_jumpdetect {ffstream}R Documentation

EWMA change detection for a stream in R with

Description

Original implementation in R of EWMA change detector, now with documentation.

Usage

EWMA_stream_jumpdetect(stream, BL, params)

Arguments

stream

The stream of observations.

BL

The burn-in length, used to estimate the mean and variance.

params

A list of parameters for the EWMA algorithm. Consists of

r

A control parameter which controls the rate of downweighting.

L

A control parameter which determines the width of the control limits.

Value

A vector of estimated changepoints.


[Package ffstream version 0.1.6 Index]