roboBayes

Robust Online Bayesian Monitoring

Alyson G. Wilson, Shannon T. Holloway, Laura J. Wendelberger, Brian J. Reich, Josh M. Gray

Last update: 13 December 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.1, 1.2

Description

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.

Cites work

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