High-Dimensional Multiscale Online Changepoint Detection
Accessor functions to attributes of class ChangepointDetector
Processing a new data point for the 'Chan' class
Constructor for the ChangepointDetector S3 class
Check if a mean change has occurred.
Processing a new data point
Compute Monte Carlo thresholds for the Chan method
Compute Monte Carlo thresholds for the Mei method
Compute Monte Carlo thresholds for the OCD method
Compute Monte Carlo thresholds for the XS method
Processing a new data point for the 'Mei' class
construtor for subclass 'Chan' in class 'ChangepointDetector'
constructor of subclass 'Mei' in class 'ChangepointDetector'
constructor of subclass 'OCD' in class 'ChangepointDetector'
constructor of subclass 'XS' in class 'ChangepointDetector'
Compute maximum ratio between detection statistic and its threshold
ocd: A package for high-dimensional multiscale online changepoint dete...
Processing a new data point for the 'OCD' class
Printing methods for the 'ChangepointDetector' class
Reset changepoint detector to initial state
Set baseline mean
Set baseline standard deviation
Set changepoint detector status
compute new mean and sd from old ones with one additional observation
Processing a new data point for the 'XS' class
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>.