EWMA_stream_jumpdetect_prechange

Original implementation in R of 'EWMA' change detector, but now
expecting the prechange mean and variance to be specified.

internal

An implementation of the adaptive forgetting factor scheme described in Bodenham and Adams (2016) <doi:10.1007/s11222-016-9684-8> which adaptively estimates the mean and variance of a stream in order to detect multiple changepoints in streaming data. The implementation is in 'C++' and uses 'Rcpp'. Additionally, implementations of the fixed forgetting factor scheme from the same paper, as well as the classic cumulative sum ('CUSUM') and exponentially weighted moving average ('EWMA') methods, are included.

Dean Bodenham

ffstream

Forgetting Factor Methods for Change Detection in Streaming Data

EWMA_stream_jumpdetect_prechange function

<dl><dt>stream</dt>
<dd>The stream of observations.</dd>
<dt>BL</dt>
<dd>The burn-in length - this won't actually be used, but is
kept for historical reasons.</dd>
<dt>params</dt>
<dd>A list of parameters for the 'EWMA' algorithm. Consists of<dl>
 <dt><code>r</code></dt>
<dd>A control parameter which controls
 the rate of downweighting.</dd></dl></dd>
 <dt><code>L</code></dt>
<dd>A control parameter which determines 
 the width of the control limits.</dd> 
</dl>
<dt>mu0</dt>
<dd>The prechange mean, which is assumed known in this context</dd>
<dt>sigma0</dt>
<dd>The prechange standard deviation, which is assumed known 
in this context</dd>

Arguments

'EWMA' change detection for a stream in R with known prechange parameters — EWMA_stream_jumpdetect_prechange

<dl>

<dt>stream</dt>
<dd>The stream of observations.</dd>


<dt>BL</dt>
<dd>The burn-in length - this won't actually be used, but is
kept for historical reasons.</dd>


<dt>params</dt>
<dd>A list of parameters for the 'EWMA' algorithm. Consists of<dl>
 <dt><code>r</code></dt>
<dd>A control parameter which controls
 the rate of downweighting.</dd>


 <dt><code>L</code></dt>
<dd>A control parameter which determines 
 the width of the control limits.</dd>

 
</dl></dd>


<dt>mu0</dt>
<dd>The prechange mean, which is assumed known in this context</dd>


<dt>sigma0</dt>
<dd>The prechange standard deviation, which is assumed known 
in this context</dd>

</dl>

EWMA_stream_jumpdetect_prechange: 'EWMA' change detection for a stream in R with known prechange parameters

Description

Usage

Value

Arguments