SKFCPD: Fast Online Changepoint Detection for Temporally Correlated Data

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), <doi:10.48550/arXiv.2310.18611>.

Version: 0.2.4
Depends: R (≥ 3.5.0), methods (≥ 4.2.2), rlang (≥ 1.0.6), ggplot2 (≥ 3.4.0), ggpubr (≥ 0.5.0), reshape2 (≥ 1.4.4), FastGaSP (≥ 0.5.2)
Imports: Rcpp (≥ 1.0.9)
LinkingTo: Rcpp, RcppEigen
Published: 2024-02-17
DOI: 10.32614/CRAN.package.SKFCPD
Author: Hanmo Li [aut, cre], Yuedong Wang [aut], Mengyang Gu [aut]
Maintainer: Hanmo Li <hanmo at>
License: GPL (≥ 3)
NeedsCompilation: yes
CRAN checks: SKFCPD results


Reference manual: SKFCPD.pdf


Package source: SKFCPD_0.2.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): SKFCPD_0.2.4.tgz, r-oldrel (arm64): SKFCPD_0.2.4.tgz, r-release (x86_64): SKFCPD_0.2.4.tgz, r-oldrel (x86_64): SKFCPD_0.2.4.tgz
Old sources: SKFCPD archive


Please use the canonical form to link to this page.