online.univar {changepoints} | R Documentation |
Perform online change point detection with controlled false alarm rate or average run length.
online.univar(
y_vec,
b_vec = NULL,
train_vec = NULL,
alpha = NULL,
gamma = NULL,
permu_num = NULL
)
y_vec |
A |
b_vec |
A |
train_vec |
A |
alpha |
A |
gamma |
An |
permu_num |
An |
A list
with the following structure:
cpt_hat |
An |
b_vec |
A |
Haotian Xu
Yu, Padilla, Wang and Rinaldo (2020) <arxiv:2006.03283>
y_vec = rnorm(150) + c(rep(0, 100), rep(1, 50))
train_vec = rnorm(100)
# control the false alarm rate
temp1 = online.univar(y_vec = y_vec, train_vec = train_vec, alpha = 0.05, permu_num = 20)
temp1$cpt_hat
temp1$b_vec # calibrated threshold