1 Introduction

The ffstream package provides an implementation for the Adaptive Forgetting Factor (AFF) change detector (Bodenham and Adams, 2016). In fact, the following four online change detection methods are implemented:

  • AFF (Bodenham and Adams, 2016)
  • FFF (Bodenham and Adams, 2016)
  • CUSUM (Page, 1954)
  • EWMA (Roberts, 1959)

While both AFF and FFF were proposed recently, CUSUM and EWMA are classical sequential change detectors from the 1950s. However, since I could not find implementations of CUSUM and EWMA on CRAN, I decided to include them in the ffstream package (they are used as baseline comparison methods in the paper mentioned above, which contains detailed descriptions of all four methods).

1.1 Demo

If you want to quickly see the AFF method in action, there is a function demo_ffstream() which provides a (good) example* of how AFF can perform:

(*many streams will have changepoints that are more difficult to detect!)

result <- demo_ffstream(showPlot=TRUE)