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r_test / packages / r-robcp 0.2.4

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>.

Installers

  • linux-64 v0.2.4
  • osx-64 v0.2.4
  • win-64 v0.2.4

conda install

To install this package run one of the following:
conda install r_test::r-robcp

Description


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