High-Dimensional Multiscale Online Changepoint Detection

Implements the algorithm in Chen, Wang and Samworth (2020) for online detection of sudden mean changes in a sequence of high-dimensional observations. It also implements methods by Mei (2010) , Xie and Siegmund (2013) and Chan (2017) .

ocd: A package for high-dimensional multiscale online changepoint detection

Description

The ocd R package provides the S3 class ChangepointDetector that processes data sequentially and aims to detect change as soon as it occurs online subject to false alarm rates.

Installation

library(devtools)
install_github('wangtengyao/ocd')

References

Chen, Y., Wang, T. and Samworth, R. J. (2020) High-dimensional multiscale online changepoint detection Preprint. arxiv:2003.03668.