gStream

Uses an approach based on k-nearest neighbor information to sequentially detect change-points. Offers analytic approximations for false discovery control given user-specified average run length. Can be applied to any type of data (high-dimensional, non-Euclidean, etc.) as long as a reasonable similarity measure is available. See references Chen, H. (2019) Sequential change-point detection based on nearest neighbors. The Annals of Statistics, 47(3):1381-1407 Chu, L. and Chen, H. (2018) Sequential change-point detection for high-dimensional and non-Euclidean data.

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