ocd (version 1.1)

new_XS: constructor of subclass 'XS' in class 'ChangepointDetector'

Description

constructor of subclass 'XS' in class 'ChangepointDetector'

Usage

new_XS(dim, thresh, p0, w)

Arguments

dim

Data dimension, all new data must be of this dimension

thresh

Detection threshold. A positive real number.

p0

A sparsity parameter between 0 and 1. It is the assumed fraction of nonzero coordinates of change. Default to 1/sqrt(dim).

w

Window size parameter. Number of most recent data points to keep track in memory. Default is 200.

Value

An object of S3 subclass 'XS' in class 'ChangepointDetector'.

Details

It is preferred to use ChangepointDetector for construction.

References

Xie, Y. and Siegmund, D. (2013) Sequential multi-sensor change-point detection. Ann. Statist., 41, 670--692.

Examples

# NOT RUN {
detector <- new_XS(dim=100, thresh=55.1, p0=0.1, w=200)
# }