SKFCPD

Authors Hanmo Li, Mengyang Gu, Yuedong Wang

Last update 17 February 2024

Copyright license GNU General Public License

Software version identifier 0.2.3, 0.2.4

Description

Sequential Kalman filter for scalable online changepoint detection by temporally correlated data. It enables fast single and multiple change points with missing values. See the reference: Hanmo Li, Yuedong Wang, Mengyang Gu (2023), <arXiv:2310.18611>.

Cites work

Sequential Kalman filter for fast online changepoint detection in longitudinal health records

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