stcp: Sequential Test and Change-Point detection algorithms based on E-values / E-detectors

stcp is a prototyped R package built to run nonparametric sequential tests and online change point detection algorithms in SRR 21’ and SRR 23’. For more efficient implementations with a limited scope, please use stcpR6 package.

This package supports APIs of nonparametric sequential test and online change-point detection for streams of univariate sub-Gaussian, binary, and bounded random variables. This package also provides APIs for general E-value based sequential test and E-detectors based change-point detection frameworks for advanced users.

Disclaimer: This R package is a personal project and is not affiliated with my company. It is provided “as is” without warranty of any kind, express or implied. The author does not assume any liability for any errors or omissions in this package.

Installation

You can install the development version of stcp from GitHub with:

# install.packages("devtools")
devtools::install_github("shinjaehyeok/stcp")