SKFCPD: Fast Online Changepoint Detection for Temporally Correlated Data

Sequential Kalman filter for scalable online changepoint detection by temporally correlated data. It enables fast single and multiple change points with missing values. See the reference: Hanmo Li, Yuedong Wang, Mengyang Gu (2023), <doi:10.48550/arXiv.2310.18611>.

Version: 0.2.4
Depends: R (≥ 3.5.0), methods (≥ 4.2.2), rlang (≥ 1.0.6), ggplot2 (≥ 3.4.0), ggpubr (≥ 0.5.0), reshape2 (≥ 1.4.4), FastGaSP (≥ 0.5.2)
Imports: Rcpp (≥ 1.0.9)
LinkingTo: Rcpp, RcppEigen
Published: 2024-02-17
Author: Hanmo Li [aut, cre], Yuedong Wang [aut], Mengyang Gu [aut]
Maintainer: Hanmo Li <hanmo at pstat.ucsb.edu>
License: GPL (≥ 3)
NeedsCompilation: yes
CRAN checks: SKFCPD results

Documentation:

Reference manual: SKFCPD.pdf

Downloads:

Package source: SKFCPD_0.2.4.tar.gz
Windows binaries: r-prerel: SKFCPD_0.2.4.zip, r-release: SKFCPD_0.2.4.zip, r-oldrel: SKFCPD_0.2.4.zip
macOS binaries: r-prerel (arm64): SKFCPD_0.2.4.tgz, r-release (arm64): SKFCPD_0.2.4.tgz, r-oldrel (arm64): SKFCPD_0.2.4.tgz, r-prerel (x86_64): SKFCPD_0.2.4.tgz, r-release (x86_64): SKFCPD_0.2.4.tgz
Old sources: SKFCPD archive

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