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R package robcp
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) <arXiv:1905.06201>. 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) DOI:10.1007/978-1-4939-3076-0_12 and Dehling, Fried and Wendler (2020) DOI:10.1093/biomet/asaa004.
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