Ocd
online changepoint detection
Install / Use
npx skills add wangtengyao/ocdInstalls into whichever agent you are using.
README
ocd: A package for high-dimensional multiscale online changepoint detection
Description
The ocd R package provides the S3 class ChangepointDetector that processes data sequentially and aims to detect change as soon as it occurs online subject to false alarm rates.
Installation
library(devtools)
install_github('wangtengyao/ocd')
References
Chen, Y., Wang, T. and Samworth, R. J. (2020) High-dimensional multiscale online changepoint detection Preprint. arxiv:2003.03668.
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