FFF_stream_jumpdetect_prechange {ffstream} | R Documentation |
Change detection using the Fixed Forgetting Factor method, prechange known
Description
Original implementation in R of FFF change detector, but now prechange is
known
Usage
FFF_stream_jumpdetect_prechange(stream, BL, ffparams, mu0, sigma0)
Arguments
stream |
The stream of observations.
|
BL |
The burn-in length - this won't actually be used, but is kept
for historical reasons.
|
ffparams |
An unnamed list of parameters for the FFF algorithm.
Consists of:
lambda The value of the fixed forgetting
factor (FFF). Should be in the range
[0,1].
p The value of the significance threshold,
which was later renamed alpha
(in the paper, not in this function).
resettozero A flag; if it zero, then the
ffmean will be reset to zero
after each change. Usually set
to 1 (i.e. do not reset).
u_init The initial value of u .
Should be set to 0.
v_init The initial value of v .
Should be set to 0.
w_init The initial value of w .
Should be set to 0.
ffmean_init The initial value of the
forgetting factor mean,
ffmean .
Should be set to 0.
ffvar_init The initial value of the
forgetting factor variance,
ffvar .
Should be set to 0.
|
mu0 |
The prechange mean, which is assumed known in this context
|
sigma0 |
The prechange standard deviation, which is assumed known
in this context
|
Value
A vector of estimated changepoints.
[Package
ffstream version 0.1.6
Index]