fastOnlineCpt: Online Multivariate Changepoint Detection

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
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

Documentation:

Reference manual: fastOnlineCpt.pdf

Downloads:

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-release (x86_64): fastOnlineCpt_1.0.tgz, r-oldrel: fastOnlineCpt_1.0.tgz

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