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.