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) .


Reference manual

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0.2.5 by Sheila Goerz, 6 months ago

Browse source code at

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

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports methods

See at CRAN