Implements the Bayesian online changepoint
detection method by Adams and MacKay (2007)
The goal of ocp is to implement Bayesian Online Changepoint Detection, as described: https://arxiv.org/abs/0710.3742
This is a basic example of how to use the function "onlineCPD" on simulated univariate Gaussian data as input.
library(ocp)truecps<- c(1, 51, 71, 121)#simulate the dataset.seed(1)uvg<- c(rnorm(n=diff(truecps), mean=0, sd=2),rnorm(n=diff(truecps), mean=20, sd=4),rnorm(n=diff(truecps), mean=10, sd=3))ocpd_output<- onlineCPD(uvg)