roboBayes: Robust Online Bayesian Monitoring
An implementation of Bayesian online changepoint detection (Adams and MacKay (2007) <arXiv:0710.3742>) with an option for probability based outlier detection and removal (Wendelberger et. al. (2021) <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.
| Version: |
1.1 |
| Depends: |
R (≥ 3.5.0), methods |
| Imports: |
Rcpp (≥ 1.0.7) |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppDist |
| Suggests: |
mvtnorm |
| Published: |
2022-08-16 |
| Author: |
Laura Wendelberger [aut],
Josh Gray [aut],
Brian Reich [aut],
Alyson Wilson [aut],
Shannon T. Holloway [aut, cre] |
| Maintainer: |
Shannon T. Holloway <shannon.t.holloway at gmail.com> |
| License: |
GPL-2 |
| NeedsCompilation: |
yes |
| CRAN checks: |
roboBayes results |
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