| XS_update {ocd} | R Documentation |
Processing a new data point for the 'XS' class
Description
This function implements the getData function to
perform the online changepoint detection for the 'XS' class.
Usage
XS_update(x_new, X_recent, CUSUM, p0, w)
Arguments
x_new |
a new data point |
X_recent |
matrix of |
CUSUM |
tail partial sums of different lengths to be tracked online |
p0 |
sparsity parameter |
w |
window parameter |
Value
a list of
stat: test statistic for the 'XS' class.
X_recent: the updated X_recent matrix
CUSUM: the updated CUSUM matrix
References
Xie, Y. and Siegmund, D. (2013) Sequential multi-sensor change-point detection. Ann. Statist., 41, 670–692.
[Package ocd version 1.1 Index]