ocd: High-Dimensional Multiscale Online Changepoint Detection
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>.
Version: |
1.1 |
Imports: |
stats, utils |
Published: |
2020-10-07 |
Author: |
Yudong Chen, Tengyao Wang, Richard J. Samworth |
Maintainer: |
Yudong Chen <yudong.chen at statslab.cam.ac.uk> |
License: |
GPL-3 |
NeedsCompilation: |
no |
Materials: |
README |
CRAN checks: |
ocd results |
Documentation:
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