Forgetting Factor Methods for Change Detection in Streaming Data

An implementation of the adaptive forgetting factor scheme described in Bodenham and Adams (2016) 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.


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install.packages("ffstream")

0.1.5 by Dean Bodenham, 3 months ago


Browse source code at https://github.com/cran/ffstream


Authors: Dean Bodenham


Documentation:   PDF Manual  


GPL-2 | GPL-3 license


Imports methods, Rcpp

Suggests testthat, knitr, rmarkdown

Linking to Rcpp


See at CRAN