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cpm (version 2.0)

Sequential and Batch Change Detection Using Parametric and Nonparametric Methods

Description

Sequential and batch change detection for univariate data streams, using the change point model framework. Functions are provided to allow the parametric monitoring of sequences of Gaussian, Bernoulli and Exponential random variables, along with functions implementing more general nonparametric methods for monitoring sequences which have an unspecified or unknown distribution.

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Version

Install

install.packages('cpm')

Monthly Downloads

886

Version

2.0

License

GPL-3

Maintainer

Gordon Ross

Last Published

June 5th, 2015

Functions in cpm (2.0)

ForexData

Foreign Exchange Data
makeChangePointModel

Creates a CPM S4 Object
changeDetected

Tests Whether a CPM S4 Object Has Encountered a Change Point
getStatistics

Returns the Test Statistics Associated With A CPM S4 Object
cpmReset

Resets a CPM S4 Object
processObservation

Process an Observation Using a CPM S4 Object.
cpm-package

The Change Point Model Package
processStream

Detects Multiple Change Points in a Sequence
detectChangePointBatch

Detect a Single Change Point in a Sequence
detectChangePoint

Detect a Single Change Point in a Sequence
getBatchThreshold

Returns the Threshold Associated with a Type I Error Probability .