Mei_update

x_new

vector of of tail CUSUMs that will be tracked and updated online

a user specified lower bound on per-coordinate magnitude of the
vector of change to be detected.

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 'Mei' 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

Mei_update function

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

Mei_update: Processing a new data point for the 'Mei' class

Description

Usage

Arguments

Value

References