EWMA_stream_jumpdetect_prechange {ffstream}R Documentation

EWMA change detection for a stream in R with known prechange parameters

Description

Original implementation in R of EWMA change detector, but now expecting the prechange mean and variance to be specified.

Usage

EWMA_stream_jumpdetect_prechange(stream, BL, params, 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.

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.

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]