cpp_detectCUSUMMeanMultiple {ffstream} | R Documentation |
Given a vector x
, control parameters k
and h
,
and a burn-in length BL
, returns a list containing the changepoints.
Algorithm is implemented in C++.
cpp_detectCUSUMMeanMultiple(x, k, h, BL)
x |
Vector of numeric values values. |
k |
control parameter for CUSUM |
h |
control parameter for CUSUM |
BL |
Value for the burn-in length. |
CUSUM updates via:
S_{j} = \max{0, S_{j-1} + (x_{j} - μ)/ σ - k}
where μ and σ are, respectively, the mean and variance of the in-control stream, x_j is the observation at time j and k is a control parameter for CUSUM. Then, a change is signalled if S_j > h, where h is the other control parameter. This is the formulation for using CUSUM to detect an increase in the mean; there is a similar formulation for detecting a decrease, and usually CUSUM is two-sided (monitors for an increase and a decrease in the mean).
A list with
tauhat
A vector of the changepoints found.