npcp: Some Nonparametric CUSUM Tests for Change-Point Detection in Possibly Multivariate Observations
Version 0.1-9

Provides nonparametric CUSUM tests for detecting changes in possibly serially dependent univariate or multivariate observations. Tests sensitive to changes in the expectation, the variance, the covariance, the autocovariance, the distribution function, Spearman's rho, Kendall's tau, Gini's mean difference, and the copula are provided, as well as a test for detecting changes in the distribution of independent block maxima (with environmental studies in mind). The latest additions are a test sensitive to changes in the autocopula and a combined test of stationarity sensitive to changes in the distribution function and the autocopula.

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Package details

AuthorIvan Kojadinovic
Date of publication2017-08-23 20:55:49 UTC
MaintainerIvan Kojadinovic <[email protected]>
LicenseGPL (>= 3) | file LICENCE
Package repositoryView on CRAN
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npcp documentation built on Aug. 24, 2017, 1:03 a.m.