ffstream

An implementation of the adaptive forgetting factor scheme described in Bodenham and Adams (2016) doi:10.1007/s11222-016-9684-8 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.