Chan_update

x_new

matrix of <code>w</code> most recent observations

X_recent

tail partial sums of different lengths to be tracked online

CUSUM

a tuning parameter for the 'Chan' method

lambda

This function implements the <code><a rd-options="" href="/link/getData?package=ocd&version=1.1" data-mini-rdoc="ocd::getData">getData</a></code> function to
perform the online changepoint detection for the 'Chan' class.

Implements the algorithm in Chen, Wang and Samworth (2020) <arxiv:2003.03668> for online detection of sudden mean changes in a sequence of high-dimensional observations. It also implements methods by Mei (2010) <doi:10.1093/biomet/asq010>, Xie and Siegmund (2013) <doi:10.1214/13-AOS1094> and Chan (2017) <doi:10.1214/17-AOS1546>.

Yudong Chen

High-Dimensional Multiscale Online Changepoint Detection

Chan_update function

This function implements the <code><a rd-options='' href='getData'>getData</a></code> function to
perform the online changepoint detection for the 'Chan' class.

Chan_update: Processing a new data point for the 'Chan' class

Description

Usage

Arguments

Value

References