An implementation of the adaptive forgetting factor scheme described in Bodenham and Adams (2016) which adaptively estimates the mean and variance of a stream in order to detect multiple changepoints in streaming data. The implementation is in C++ and uses Rcpp. Additionally, implementations of the fixed forgetting factor scheme from the same paper, as well as the classic CUSUM and EWMA methods, are included.

Documentation

Manual: ffstream.pdf
Vignette: ffstream_0.1.4

Maintainer: Dean Bodenham <deanbodenhambsse at gmail.com>

Author(s): Dean Bodenham

Install package and any missing dependencies by running this line in your R console:

install.packages("ffstream")

Depends R (>= 3.3.0)
Imports methods, Rcpp(>=0.12.7)
Suggests testthat(>=1.0.2), knitr, rmarkdown
Enhances
Linking to Rcpp
Reverse
depends
Reverse
imports
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package ffstream
Materials
URL
Task Views
Version 0.1.5
Published 2016-11-22
License GPL-2 | GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks ffstream check results
Package source ffstream_0.1.5.tar.gz