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. Focus is on the detection of abrupt changes in location, but changes scale or dependence structure can be detected as well. This package provides tests for change detection in uni- and multivariate time series based on Huberized versions of CUSUM tests proposed in Duerre and Fried (2019) . Furthermore, robcp provides tests for change detection in univariate time series based on 2-sample U-statistics or 2-sample U-quantiles as proposed by Dehling et al. (2015) and Dehling, Fried and Wendler (2020) .


Reference manual

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0.3.3 by Sheila Goerz, a month ago

Browse source code at

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

Documentation:   PDF Manual  

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GPL-3 license

Imports methods, Rcpp

Suggests testthat, MASS, pracma, mvtnorm

Linking to Rcpp

See at CRAN