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roboBayes (version 1.2)

Robust Online Bayesian Monitoring

Description

An implementation of Bayesian online changepoint detection (Adams and MacKay (2007) ) with an option for probability based outlier detection and removal (Wendelberger et. al. (2021) ). Building on the independent multivariate constant mean model implemented in the 'R' package 'ocp', this package models multivariate data as multivariate normal about a linear trend, defined by user input covariates, with an unstructured error covariance. Changepoints are identified based on a probability threshold for windows of points.

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Version

Install

install.packages('roboBayes')

Monthly Downloads

552

Version

1.2

License

GPL-2

Maintainer

Shannon Holloway

Last Published

December 13th, 2023

Functions in roboBayes (1.2)

roboBayes

roboBayes: Robust Online Bayesian Monitoring