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-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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