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.
- Version0.2.4
- R version≥ 4.2.2,
- LicenseGPL (≥ 3)
- Needs compilation?Yes
- Last release02/17/2024
Team
Hanmo Li
Mengyang Gu
Show author detailsRolesAuthorYuedong Wang
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- Depends5 packages
- Imports1 package
- Linking To2 packages