Robust Change-Point Tests
Overview
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 in the 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) DOI:10.48550/arXiv.1905.06201, and 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. Furthermore, the packages provides tests on changes in the scale or the correlation as proposed in Gerstenberger, Vogel and Wendler (2020) DOI:10.1080/01621459.2019.1629938, Dehling et al. (2017) DOI:10.1017/S026646661600044X, and Wied et al. (2014) DOI:10.1016/j.csda.2013.03.005.
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-04-22
- ERROR13 OK, 1 ERROR2026-04-18
- OK14 OK2026-03-10
Documentation
- Help pages
- 23includes a package overview page
- Examples that run
- 100%18 run in a plain check
- Exported functions with examples
- 95%
- Documented parameters
- 95%
- Return-value docs
- 100%
- Help pages citing references
- 65%
Downloads
Dependencies
Installing robcp adds 3 packages (2 with compiled code, 3.2 MB of source tarballs). Heaviest: Rcpp 1.8 MB, mvtnorm 1.0 MB, pracma 389 KB.
Code & Tests
Datasets
People & History
Pick two releases to compare their code metrics.
- RR 4.6.0 released · 2026-04-24
- 0.3.10Latest
- 0.3.92025-06-25 · diff ↗
- RR 4.5.0 released · 2025-04-11
- unarchivedReturned to CRAN2025-04-09
- 0.3.82025-04-09 · diff ↗
- RR 4.4.0 released · 2024-04-24
- archivedRemoved from CRAN2024-04-08issues were not corrected in time
- RR 4.3.0 released · 2023-04-21
- 0.3.72022-09-16 · diff ↗
- 0.3.62022-05-03 · diff ↗
- RR 4.2.0 released · 2022-04-22
- 0.3.52022-03-30 · diff ↗
- 0.3.4
- unarchivedReturned to CRAN2021-10-30
- 0.3.32021-10-30 · diff ↗
Show 11 earlier eventsHide 11 earlier events
- archivedRemoved from CRAN2021-09-26check problems were not corrected in time
- 0.3.22021-09-20 · diff ↗
- unarchivedReturned to CRAN2021-09-12
- 0.3.1
- RR 4.1.0 released · 2021-05-18
- archivedRemoved from CRAN2021-04-14check problems were not corrected in time
- 0.3.02021-03-31 · diff ↗ ·
removed 4 exports
h_cumsum, sigma2, teststat, pbessel3added 6 exports
psi_cumsum, lrv, CUSUM, pBessel, medianDiff, weightedMedian - RR 4.0.0 released · 2020-04-24
- 0.2.5
- 0.2.42019-06-04
- RR 3.6.0 released · 2019-04-26
Package metadata
- First published
- 2019-06-04
- Total releases
- 13 / 7 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.3.1
- Bundled data
- 1.3 MB / 2 files
- Download size
- 1.4 MB
Cite
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Run in R for the authors' entry:
citation("robcp")The package provides a citation file, so citation() returns the authors' own entry.
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