npcp: Some Nonparametric Tests for Change-Point Detection in Possibly Multivariate Observations

Provides nonparametric tests for assessing whether possibly serially dependent univariate or multivariate observations have the same c.d.f. or not. In addition to tests focusing directly on the c.d.f., the package contains tests designed to be particularly sensitive to changes in the underlying copula, Spearman's rho or certain quantities that can be estimated using one-sample U-statistics of order two such as the variance, Gini's mean difference or Kendall's tau. The latest addition is a nonparametric test for detecting changes in the distribution of independent block maxima.

AuthorIvan Kojadinovic
Date of publication2015-07-24 08:41:09
MaintainerIvan Kojadinovic <ivan.kojadinovic@univ-pau.fr>
LicenseGPL (>= 3) | file LICENCE
Version0.1-6

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Files

npcp
npcp/src
npcp/src/ci.c
npcp/src/utilities.h
npcp/src/ectest.c
npcp/src/utilities.c
npcp/src/bmtest.c
npcp/src/zeroin.c
npcp/src/Utest.c
npcp/src/rhotest.c
npcp/src/set_utils.h
npcp/src/set_utils.c
npcp/src/cdftest.c
npcp/NAMESPACE
npcp/R
npcp/R/lnopt.R npcp/R/ci.R npcp/R/tests.R
npcp/MD5
npcp/DESCRIPTION
npcp/LICENCE
npcp/man
npcp/man/cpTestCn.Rd npcp/man/cpTestU.Rd npcp/man/cpTestFn.Rd npcp/man/cpTestRho.Rd npcp/man/cpTestBM.Rd npcp/man/bOptEmpProc.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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