roboBayes (Q100155)
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Robust Online Bayesian Monitoring
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | roboBayes |
Robust Online Bayesian Monitoring |
Statements
13 December 2023
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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.
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