Robust Change-Point Tests


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Documentation for package ‘robcp’ version 0.3.3

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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
psi Transformation of time series
psi_cumsum Cumulative sum of transformed vectors
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