Robust Change-Point Tests

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Documentation for package ‘robcp’ version 0.2.5

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huber_cusum Huberized CUSUM test
h_cumsum Cumulative sum of transformed vectors
kthPair K-th largest element in a sum of sets.
modifChol Revised Modified Cholesky Factorization
pbessel3 Asymptotic cumulative distribution for the Huberized CUSUM Test statistic
pKSdist Asymptotic cumulative distribution for the Huberized CUSUM Test statistic
psi Transformation of time series
sigma2 Autocorrelation
teststat Test statistic for the Huberized CUSUM Test
zeros Zero of the Bessel function of first kind