new_Chan {ocd}

construtor for subclass 'Chan' in class 'ChangepointDetector'

Description

construtor for subclass 'Chan' in class 'ChangepointDetector'

Usage

new_Chan(dim, thresh, p0, w, lambda)

Arguments

dim

Data dimension, all new data must be of this dimension

thresh

Detection threshold. A positive real number.

p0

A sparsity parameter between 0 and 1. It is the assumed fraction of nonzero coordinates of change. Default to 1/sqrt(dim).

w

Window size parameter. Number of most recent data points to keep track in memory. Default is 200.

lambda

A tuning parameter used by the Chan (2017) method. Default is sqrt(8)-2.

Details

It is preferred to use ChangepointDetector for construction.

Value

An object of S3 subclass 'Chan' in class 'ChangepointDetector'.

References

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

Examples

detector <- new_Chan(dim=100, thresh=8.7, p0=0.1, w=200, lambda=sqrt(8)-2)