Chan_update {ocd}

Processing a new data point for the 'Chan' class

Description

This function implements the getData function to perform the online changepoint detection for the 'Chan' class.

Usage

Chan_update(x_new, X_recent, CUSUM, p0, w, lambda)

Arguments

x_new

a new data point

X_recent

matrix of w most recent observations

CUSUM

tail partial sums of different lengths to be tracked online

p0

sparsity parameter

w

window parameter

lambda

a tuning parameter for the 'Chan' method

Value

a list of

• stat: test statistic for the 'Chan' class.

• X_recent: the updated X_recent matrix

• CUSUM: the updated CUSUM matrix

References

Chan, H. P. (2017) Optimal sequential detection in multi-stream data. Ann. Statist., 45, 2736–2763.