ocd

Implements the algorithm in Chen, Wang and Samworth (2020) doi:10.48550/arXiv.2003.03668 for online detection of sudden mean changes in a sequence of high-dimensional observations. It also implements methods by Mei (2010) doi:10.1093/biomet/asq010, Xie and Siegmund (2013) doi:10.1214/13-AOS1094 and Chan (2017) doi:10.1214/17-AOS1546.

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