npcopTest: Non Parametric Test for Detecting Changes in the Copula

A non parametric test for change points detection in the dependence between the components of multivariate data, with or without (multiple) changes in the marginal distributions. The full details, justification and examples are published in Rohmer (2016) <doi:10.1016/j.spl.2016.06.026>.

Getting started

Package details

AuthorTom Rohmer
MaintainerTom Rohmer <[email protected]>
LicenseGPL (>= 3)
Version1.03
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("npcopTest")

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npcopTest documentation built on Feb. 11, 2018, 3:13 p.m.