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ocd: A package for high-dimensional multiscale online changepoint detection

Description

The ocd R package provides the S3 class ChangepointDetector that processes data sequentially and aims to detect change as soon as it occurs online subject to false alarm rates.

Installation

library(devtools)
install_github('wangtengyao/ocd')

References

Chen, Y., Wang, T. and Samworth, R. J. (2020) High-dimensional multiscale online changepoint detection Preprint. arxiv:2003.03668.

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Version

Install

install.packages('ocd')

Monthly Downloads

204

Version

1.1

License

GPL-3

Maintainer

Yudong Chen

Last Published

October 7th, 2020

Functions in ocd (1.1)

MC_ocd

Compute Monte Carlo thresholds for the OCD method
MC_XS

Compute Monte Carlo thresholds for the XS method
XS_update

Processing a new data point for the 'XS' class
accessor

Accessor functions to attributes of class ChangepointDetector
ocd_update

Processing a new data point for the 'OCD' class
Chan_update

Processing a new data point for the 'Chan' class
ChangepointDetector

Constructor for the ChangepointDetector S3 class
new_Chan

construtor for subclass 'Chan' in class 'ChangepointDetector'
new_Mei

constructor of subclass 'Mei' in class 'ChangepointDetector'
update_param

compute new mean and sd from old ones with one additional observation
print.ChangepointDetector

Printing methods for the 'ChangepointDetector' class
normalisedStatistics

Compute maximum ratio between detection statistic and its threshold
ocd

ocd: A package for high-dimensional multiscale online changepoint detection
setBaselineSD

Set baseline standard deviation
setStatus

Set changepoint detector status
Mei_update

Processing a new data point for the 'Mei' class
checkChange

Check if a mean change has occurred.
getData

Processing a new data point
ParkfieldSensors

Parkfield seismic sensor data
new_XS

constructor of subclass 'XS' in class 'ChangepointDetector'
new_OCD

constructor of subclass 'OCD' in class 'ChangepointDetector'
reset

Reset changepoint detector to initial state
setBaselineMean

Set baseline mean
MC_Mei

Compute Monte Carlo thresholds for the Mei method
MC_Chan

Compute Monte Carlo thresholds for the Chan method