hcp_cf_arima {harbinger}

Change Finder using ARIMA

Description

Change-point detection is related to event/trend change detection. Change Finder ARIMA detects change points based on deviations relative to ARIMA model doi:10.1109/TKDE.2006.1599387. It wraps the ARIMA model presented in the forecast library.

Usage

hcp_cf_arima(sw_size = NULL)

Arguments

sw_size

Sliding window size

Value

hcp_cf_arima object

Examples

library(daltoolbox)

#loading the example database
data(examples_changepoints)

#Using simple example
dataset <- examples_changepoints$simple
head(dataset)

# setting up change point method
model <- hcp_cf_arima()

# fitting the model
model <- fit(model, dataset$serie)

detection <- detect(model, dataset$serie)

# filtering detected events
print(detection[(detection$event),])