SKFCPD

CRANSKFCPDMaRDI QIDQ5975563FDOQ5975563

Fast Online Changepoint Detection for Temporally Correlated Data

Yuedong Wang, Mengyang Gu, Hanmo Li

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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