Online Change Point Detection for Matrix-Valued Time Series
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Documentation for package ‘OLCPM’ version 0.1.0
Help Pages
| gen.data | generate data |
| gen.psi.tau.flat | calculate eigenvalue series by "flat" method |
| gen.psi.tau.proj | calculate eigenvalue series by projected method |
| getcv | calculate critical values |
| test.matrix.flat | test change point for matrix-valued online time series-"flat" version |
| test.matrix.proj | test change point for matrix-valued online time series-projected version |
| test.matrix.psi | test change point for matrix-valued online data with rolling eigenvalue series |