ffstream (version 0.1.7.2)

FFF_stream_jumpdetect: Change detection using the Fixed Forgetting Factor method

Description

Original implementation in R of FFF change detector, but now

Usage

FFF_stream_jumpdetect(stream, BL, ffparams)

Value

A vector of estimated changepoints.

Arguments

stream

The stream of observations.

BL

The burn-in length, used to estimate the mean and variance.

ffparams

An unnamed list of parameters for the FFF algorithm. Consists of:

lambda

The value of the fixed forgetting factor (FFF). Should be in the range [0,1].

p

The value of the significance threshold, which was later renamed alpha (in the paper, not in this function).

resettozero

A flag; if it zero, then the ffmean will be reset to zero after each change. Usually set to 1 (i.e. do not reset).

u_init

The initial value of u. Should be set to 0.

v_init

The initial value of v. Should be set to 0.

w_init

The initial value of w. Should be set to 0.

ffmean_init

The initial value of the forgetting factor mean, ffmean. Should be set to 0.

ffvar_init

The initial value of the forgetting factor variance, ffvar. Should be set to 0.