fastOnlineCpt
Online Multivariate Changepoint Detection
Implementation of a simple algorithm designed for online multivariate changepoint detection of a mean in sparse changepoint settings. The algorithm is based on a modified cusum statistic and guarantees control of the type I error on any false discoveries, while featuring O(1) time and O(1) memory updates per series as well as a proven detection delay.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0 |
rolling source/ R- | fastOnlineCpt_1.0.tar.gz |
3.8 KiB |
1.0 |
latest source/ R- | fastOnlineCpt_1.0.tar.gz |
3.8 KiB |
1.0 |
2026-04-23 source/ R- | fastOnlineCpt_1.0.tar.gz |
3.8 KiB |
1.0 |
2026-04-09 windows/windows R-4.5 | fastOnlineCpt_1.0.zip |
136.1 KiB |