cpp_detectFFFMeanSinglePrechange

Given a vector <code>x</code>, a value <code>lambda</code>, a threshold <code>alpha</code>,
and values for known prechange mean and variance, returns a list containing 
the single changepoint. Algorithm is implemented in 'C++'.

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

cpp_detectFFFMeanSinglePrechange function

<dl><dt>x</dt>
<dd>Vector of numeric values values.</dd>
<dt>lambda</dt>
<dd>Value for the fixed forgetting factor in \((0,1)\).</dd>
<dt>alpha</dt>
<dd>Value for the significance threshold in \((0,1)\).</dd>
<dt>prechangeMean</dt>
<dd>Value of known prechange mean.</dd>
<dt>prechangeSigma</dt>
<dd>Value of known prechange standard deviation.</dd></dl>

Arguments

Find the first changepoint in the mean using FFF, assuming prechange known — cpp_detectFFFMeanSinglePrechange

<dl>

<dt>x</dt>
<dd>Vector of numeric values values.</dd>


<dt>lambda</dt>
<dd>Value for the fixed forgetting factor in \((0,1)\).</dd>


<dt>alpha</dt>
<dd>Value for the significance threshold in \((0,1)\).</dd>


<dt>prechangeMean</dt>
<dd>Value of known prechange mean.</dd>


<dt>prechangeSigma</dt>
<dd>Value of known prechange standard deviation.</dd>

</dl>

cpp_detectFFFMeanSinglePrechange: Find the first changepoint in the mean using FFF, assuming prechange known

Description

Usage

Value

Arguments