Expand description
Online change point detection via exponentially weighted statistics.
A streaming detector that maintains an exponentially weighted mean and variance. When a new observation deviates significantly from the expected distribution (Mahalanobis-like distance exceeds threshold), a change point is emitted.
This is a practical simplification of BOCPD that works well for embedding trajectories where the distribution shifts are typically large.
Structsยง
- Bocpd
Config - Online detector configuration.
- Bocpd
Detector - Online streaming change point detector.