Description
High-Dimensional Multiscale Online Changepoint Detection.
Description
Implements the algorithm in Chen, Wang and Samworth (2020) <arxiv:2003.03668> for online detection of sudden mean changes in a sequence of high-dimensional observations. It also implements methods by Mei (2010) <doi:10.1093/biomet/asq010>, Xie and Siegmund (2013) <doi:10.1214/13-AOS1094> and Chan (2017) <doi:10.1214/17-AOS1546>.
README.md
ocd: A package for high-dimensional multiscale online changepoint detection
Description
The ocd R package provides the S3 class ChangepointDetector that processes data sequentially and aims to detect change as soon as it occurs online subject to false alarm rates.
Installation
library(devtools)
install_github('wangtengyao/ocd')
References
Chen, Y., Wang, T. and Samworth, R. J. (2020) High-dimensional multiscale online changepoint detection Preprint. arxiv:2003.03668.