Robust Change-Point Tests


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Documentation for package ‘robcp’ version 0.3.5

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cor_cusum A CUSUM-type test to detect changes in the fluctuation.
cor_stat Test statistic to detect Fluctuation Changes
CUSUM CUSUM Test Statistic
hl_test Hodges-Lehmann Test for Change Points
HodgesLehmann Hodges Lehmann Test Statistic
huber_cusum Huberized CUSUM test
kthPair K-th largest element in a sum of sets.
lrv Long Run Variance
medianDiff Median of the set X - Y
modifChol Revised Modified Cholesky Factorization
pBessel Asymptotic cumulative distribution for the CUSUM Test statistic
pKSdist Asymptotic cumulative distribution for the CUSUM Test statistic
plot.cpStat Plot method for change point statistics
print.cpStat Print method for change point statistics
psi Transformation of time series
psi_cumsum Cumulative sum of transformed vectors
Qalpha Q^{alpha}
scale_cusum Tests for Scale Changes Based on Pairwise Differences
scale_stat Test statistic to detect Scale Changes
u_hat Hodges Lehmann Test Statistic
weightedMedian Weighted Median
wilcox_stat Wilcoxon-Mann-Whitney Test Statistic for Change Points
wmw_test Wilocxon-Mann-Whitney Test for Change Points
zeros Zero of the Bessel function of first kind