Struct changepoint::BocpdTruncated

pub struct BocpdTruncated<X, Fx, Pr>where
    Fx: Rv<X> + HasSuffStat<X>,
    Pr: ConjugatePrior<X, Fx>,
    Fx::Stat: Clone,{ /* private fields */ }

Online Bayesian Change Point Detection with a truncated tail

The truncation takes place after run length probabilites are computed. The truncation point is chosen based on the most recent point from which all successive mass is below the given threshold.

Implementations

impl<X, Fx, Pr> BocpdTruncated<X, Fx, Pr>where Fx: Rv<X> + HasSuffStat<X>, Pr: ConjugatePrior<X, Fx, Posterior = Pr> + Clone, Fx::Stat: Clone,

pub fn new(hazard_lambda: f64, predictive_prior: Pr) -> Self

Create a new Bocpd analyzer

Parameters

• hazard - The hazard function for P_{gap} = 1/hazard.
• predictive_prior - Prior for the predictive distribution.

Example

use changepoint::BocpdTruncated;
use rv::prelude::*;

let cpd = BocpdTruncated::new(
    250.0,
    NormalGamma::new_unchecked(0.0, 1.0, 1.0, 1.0),
);

pub fn with_cutoff(self, cutoff_threadhold: f64) -> Self

Change the cutoff for mass to be discarded on the tail end of run-lengths

pub fn reset_with_prior(&mut self, predictive_prior: Pr)

Reset the introspector and replace the predictive prior

impl<X, Fx, Pr> BocpdTruncated<X, Fx, Pr>where Fx: Rv<X> + HasSuffStat<X>, Pr: ConjugatePrior<X, Fx, Posterior = Pr> + Clone, Fx::Stat: Clone,

pub fn collapse_stats(self) -> Self

Reduce the observed values into a new BOCPD with those observed values integrated into the prior.

Trait Implementations

impl<X, Fx, Pr> BocpdLike<X> for BocpdTruncated<X, Fx, Pr>where Fx: Rv<X> + HasSuffStat<X>, Pr: ConjugatePrior<X, Fx, Posterior = Pr> + Clone, Fx::Stat: Clone,

fn step(&mut self, data: &X) -> &[f64]

Update the model with a new datum and return the distribution of run lengths.

type Fx = Fx

Type of type of distribution

type PosteriorPredictive = Mixture<Pr>

Type of predictive prior distribution

fn reset(&mut self)

Reset internal state, new run-lengths will refer to steps after this point.

fn pp(&self) -> Self::PosteriorPredictive

Generate the posterior predictive distribution

fn preload(&mut self, data: &[X])

Preload a seqeunce into the default suff stat

impl<X: Clone, Fx, Pr> Clone for BocpdTruncated<X, Fx, Pr>where Fx: Rv<X> + HasSuffStat<X> + Clone, Pr: ConjugatePrior<X, Fx> + Clone, Fx::Stat: Clone + Clone,

fn clone(&self) -> BocpdTruncated<X, Fx, Pr>

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl<X: Debug, Fx, Pr> Debug for BocpdTruncated<X, Fx, Pr>where Fx: Rv<X> + HasSuffStat<X> + Debug, Pr: ConjugatePrior<X, Fx> + Debug, Fx::Stat: Clone + Debug,

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.