Implementation of a simple algorithm designed for online multivariate changepoint detection of a mean in sparse changepoint settings. The algorithm is based on a modified cusum statistic and guarantees control of the type I error on any false discoveries, while featuring O(1) time and O(1) memory updates per series as well as a proven detection delay.
| Version: | 1.0 |
| Imports: | Rdpack, methods |
| Published: | 2021-07-09 |
| DOI: | 10.32614/CRAN.package.fastOnlineCpt |
| Author: | Georg Hahn [aut,cre] |
| Maintainer: | Georg Hahn <ghahn at hsph.harvard.edu> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | fastOnlineCpt results |
| Reference manual: | fastOnlineCpt.pdf |
| Package source: | fastOnlineCpt_1.0.tar.gz |
| Windows binaries: | r-devel: fastOnlineCpt_1.0.zip, r-release: fastOnlineCpt_1.0.zip, r-oldrel: fastOnlineCpt_1.0.zip |
| macOS binaries: | r-release (arm64): fastOnlineCpt_1.0.tgz, r-oldrel (arm64): fastOnlineCpt_1.0.tgz, r-release (x86_64): fastOnlineCpt_1.0.tgz, r-oldrel (x86_64): fastOnlineCpt_1.0.tgz |
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