roboBayes

An implementation of Bayesian online changepoint detection (Adams and MacKay (2007) doi:10.48550/arXiv.0710.3742) with an option for probability based outlier detection and removal (Wendelberger et. al. (2021) doi:10.48550/arXiv.2112.12899). Building on the independent multivariate constant mean model implemented in the 'R' package 'ocp', this package models multivariate data as multivariate normal about a linear trend, defined by user input covariates, with an unstructured error covariance. Changepoints are identified based on a probability threshold for windows of points.

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