SKFCPD: Fast Online Changepoint Detection for Temporally Correlated Data
Sequential Kalman filter for scalable online changepoint detection by temporally correlated data. It enables fast single and multiple change points with missing values. See the reference: Hanmo Li, Yuedong Wang, Mengyang Gu (2023), <doi:10.48550/arXiv.2310.18611>.
Version: |
0.2.4 |
Depends: |
R (≥ 3.5.0), methods (≥ 4.2.2), rlang (≥ 1.0.6), ggplot2 (≥ 3.4.0), ggpubr (≥ 0.5.0), reshape2 (≥ 1.4.4), FastGaSP (≥ 0.5.2) |
Imports: |
Rcpp (≥ 1.0.9) |
LinkingTo: |
Rcpp, RcppEigen |
Published: |
2024-02-17 |
DOI: |
10.32614/CRAN.package.SKFCPD |
Author: |
Hanmo Li [aut, cre],
Yuedong Wang [aut],
Mengyang Gu [aut] |
Maintainer: |
Hanmo Li <hanmo at pstat.ucsb.edu> |
License: |
GPL (≥ 3) |
NeedsCompilation: |
yes |
CRAN checks: |
SKFCPD results |
Documentation:
Downloads:
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