ocd: High-Dimensional Multiscale Online Changepoint Detection

Implements the algorithm in Chen, Wang and Samworth (2020) <arxiv:2003.03668> for online detection of sudden mean changes in a sequence of high-dimensional observations. It also implements methods by Mei (2010) <doi:10.1093/biomet/asq010>, Xie and Siegmund (2013) <doi:10.1214/13-AOS1094> and Chan (2017) <doi:10.1214/17-AOS1546>.

Version: 1.1
Imports: stats, utils
Published: 2020-10-07
Author: Yudong Chen, Tengyao Wang, Richard J. Samworth
Maintainer: Yudong Chen <yudong.chen at statslab.cam.ac.uk>
License: GPL-3
NeedsCompilation: no
Materials: README
CRAN checks: ocd results

Downloads:

Reference manual: ocd.pdf
Package source: ocd_1.1.tar.gz
Windows binaries: r-devel: ocd_1.1.zip, r-release: ocd_1.1.zip, r-oldrel: ocd_1.1.zip
macOS binaries: r-release: ocd_1.1.tgz, r-oldrel: ocd_1.1.tgz
Old sources: ocd archive

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