fastOnlineCpt

cranv1.0

Online Multivariate Changepoint Detection. Implementation of a simple algorithm designed for online multivariate changepoint detection of a mean in sparse changepoint settings. The algorithm is based on a modified cusum statistic and guarantees control of the type I error on any false discoveries, while featuring O(1) time and O(1) memory up

License GPL (>= 2)0 versions1 maintainers2 deps70 weekly dl
https://CRAN.R-project.org/package=fastOnlineCpt
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First published · 2021-07-09 09:32:34

Last updated · 2021-07-09T07:30:07+00:00