Package: onlineCOV 1.3

Jun Li

onlineCOV: Online Change Point Detection in High-Dimensional Covariance Structure

Implement a new stopping rule to detect anomaly in the covariance structure of high-dimensional online data. The detection procedure can be applied to Gaussian or non-Gaussian data with a large number of components. Moreover, it allows both spatial and temporal dependence in data. The dependence can be estimated by a data-driven procedure. The level of threshold in the stopping rule can be determined at a pre-selected average run length. More detail can be seen in Li, L. and Li, J. (2020) "Online Change-Point Detection in High-Dimensional Covariance Structure with Application to Dynamic Networks." <arxiv:1911.07762>.

Authors:Lingjun Li and Jun Li

onlineCOV_1.3.tar.gz
onlineCOV_1.3.tar.gz(r-4.5-noble)onlineCOV_1.3.tar.gz(r-4.4-noble)
onlineCOV_1.3.tgz(r-4.4-emscripten)onlineCOV_1.3.tgz(r-4.3-emscripten)
onlineCOV.pdf |onlineCOV.html✨
onlineCOV/json (API)

# Install 'onlineCOV' in R:
install.packages('onlineCOV', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

fortran

1.00 score 101 downloads 2 exports 0 dependencies

Last updated 5 years agofrom:aa8590e84a. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 30 2025
R-4.5-linux-x86_64OKMar 30 2025
R-4.4-linux-x86_64OKMar 30 2025

Exports:nuisance.eststopping.rule

Dependencies:

Citation

To cite package ‘onlineCOV’ in publications use:

Li L, Li J (2020). onlineCOV: Online Change Point Detection in High-Dimensional Covariance Structure. R package version 1.3, https://CRAN.R-project.org/package=onlineCOV.

ATTENTION: This citation information has been auto-generated from the package DESCRIPTION file and may need manual editing, see ‘help("citation")’.

Corresponding BibTeX entry: 

  @Manual{,
    title = {onlineCOV: Online Change Point Detection in
      High-Dimensional Covariance Structure},
    author = {Lingjun Li and Jun Li},
    year = {2020},
    note = {R package version 1.3},
    url = {https://CRAN.R-project.org/package=onlineCOV},
  }