Robust Change-Point Tests

Provides robust methods to detect change-points in uni- or multivariate time series. They can cope with corrupted data and heavy tails. One can detect changes in location, scale and dependence structure of a possibly multivariate time series. Procedures are based on Huberized versions of CUSUM tests proposed in Duerre and Fried (2019) .


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Reference manual

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install.packages("robcp")

0.2.5 by Sheila Goerz, 6 months ago


Browse source code at https://github.com/cran/robcp


Authors: Sheila Goerz [aut, cre] , Alexander Duerre [ctb]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-3 license


Imports methods


See at CRAN