Sequential and Batch Change Detection Using Parametric and Nonparametric Methods
Tests Whether a CPM S4 Object Has Encountered a Change Point
The Change Point Model Package
Resets a CPM S4 Object
Detect a Single Change Point in a Sequence
Detect a Single Change Point in a Sequence
Returns the Threshold Associated with a Type I Error Probability .
Returns the Test Statistics Associated With A CPM S4 Object
Creates a CPM S4 Object
Process an Observation Using a CPM S4 Object.
Detects Multiple Change Points in a Sequence
Sequential and batch change detection for univariate data streams, using the change point model framework. Functions are provided to allow nonparametric distribution-free change detection in the mean, variance, or general distribution of a given sequence of observations. Parametric change detection methods are also provided for Gaussian, Bernoulli and Exponential sequences. Both the batch (Phase I) and sequential (Phase II) settings are supported, and the sequences may contain either a single or multiple change points. A full description of this package is available in Ross, G.J (2015) - "Parametric and nonparametric sequential change detection in R" available at <https://www.jstatsoft.org/article/view/v066i03>.