robcp: 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) <arXiv:1905.06201>.

Version: 0.2.5
Depends: R (≥ 3.3.1)
Imports: methods
Published: 2020-01-24
Author: Sheila Goerz [aut, cre], Alexander Duerre [ctb]
Maintainer: Sheila Goerz <sheila.goerz at>
License: GPL-3
NeedsCompilation: yes
In views: TimeSeries
CRAN checks: robcp results


Reference manual: robcp.pdf
Package source: robcp_0.2.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: robcp_0.2.5.tgz, r-oldrel: robcp_0.2.5.tgz
Old sources: robcp archive


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