update_param

old_mean

old_sd

x_new

<p>total number of observations (including x_new)</p>

n_obs

<p>compute new mean and sd from old ones with one additional observation</p>

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>.

update_param: compute new mean and sd from old ones with one additional observation

Description

Usage

Arguments

Value