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.
||Georg Hahn [aut,cre]
||Georg Hahn <ghahn at hsph.harvard.edu>
||GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
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