Mei_update {ocd}

Processing a new data point for the 'Mei' class

Description

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

Usage

Mei_update(x_new, R, b)

Arguments

x_new

a new data point

R

vector of of tail CUSUMs that will be tracked and updated online

b

a user specified lower bound on per-coordinate magnitude of the vector of change to be detected.

Value

a list of

• stat: a vector of 2 test statistics for the 'Mei' class.

• R: the updated R vector

References

Mei, Y. (2010) Efficient scalable schemes for monitoring a large number of data streams. Biometrika, 97, 419–433.