computeAFFMean {ffstream} | R Documentation |
Given a vector x
and a value eta
for step-size
in the stochastic gradient descent for the adaptive forgetting
factor, this returns the value of the fixed forgetting factor mean
\bar{x}_{N, \overrightarrow{λ} }, where N is the
length of x
. Algorithm is implemented in C++.
computeAFFMean(x = c(0), eta = 0.01)
x |
Vector of numeric values values. Default is |
eta |
Value for the step size in the gradient descent step.
Default is |
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