CUSUM_stream_jumpdetect_prechange {ffstream} | R Documentation |
Original implementation in R of CUSUM change detector, but now expecting the prechange mean and variance to be specified.
CUSUM_stream_jumpdetect_prechange(stream, BL, params, mu0, sigma0)
stream |
The stream of observations. |
BL |
The burn-in length - this won't actually be used, but is kept for historical reasons. |
params |
A list of parameters for the CUSUM algorithm. Consists of
|
mu0 |
The prechange mean, which is assumed known in this context |
sigma0 |
The prechange standard deviation, which is assumed known in this context |
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