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

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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.

Author
Ivan Kojadinovic
Date of publication
2015-07-24 08:41:09
Maintainer
Ivan Kojadinovic <ivan.kojadinovic@univ-pau.fr>
License
GPL (>= 3) | file LICENCE
Version
0.1-6

View on CRAN

Man pages

bOptEmpProc
Bandwidth parameter estimation
cpTestBM
Nonparametric tests for change-point detection in the...
cpTestCn
Test for change-point detection based on the empirical copula
cpTestFn
Test for change-point detection based on the multivariate...
cpTestRho
Test for change-point detection based on Spearman's rho
cpTestU
Some tests for change-point detection based on U-statistics

Files in this package

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