ffstream (version 0.1.7.2)

FFF_stream_jumpdetect_prechange: Change detection using the Fixed Forgetting Factor method, prechange known

Description

Original implementation in R of FFF change detector, but now prechange is known

Usage

FFF_stream_jumpdetect_prechange(stream, BL, ffparams, mu0, sigma0)

Value

A vector of estimated changepoints.

Arguments

stream

The stream of observations.

BL

The burn-in length - this won't actually be used, but is kept for historical reasons.

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.

mu0

The prechange mean, which is assumed known in this context

sigma0

The prechange standard deviation, which is assumed known in this context