plot.cpStat

Plots the trajectory of the test statistic process together with a red line indicating 
the critical value (alpha = 0.05) and a blue line indicating the most
probable change point location

Provides robust methods to detect change-points in uni- or multivariate time series. They can cope with corrupted data and heavy tails. Focus is on the detection of abrupt changes in location, but changes in the scale or dependence structure can be detected as well. This package provides tests for change detection in uni- and multivariate time series based on Huberized versions of CUSUM tests proposed in Duerre and Fried (2019) <DOI:10.48550/arXiv.1905.06201>, and tests for change detection in univariate time series based on 2-sample U-statistics or 2-sample U-quantiles as proposed by Dehling et al. (2015) <DOI:10.1007/978-1-4939-3076-0_12> and Dehling, Fried and Wendler (2020) <DOI:10.1093/biomet/asaa004>. Furthermore, the packages provides tests on changes in the scale or the correlation as proposed in Gerstenberger, Vogel and Wendler (2020) <DOI:10.1080/01621459.2019.1629938>, Dehling et al. (2017) <DOI:10.1017/S026646661600044X>, and Wied et al. (2014) <DOI:10.1016/j.csda.2013.03.005>.

Sheila Goerz

robcp

Robust Change-Point Tests

Alexander Duerre

Roland Fried

plot.cpStat function

<dl><dt>x</dt>
<dd>object of the class 'cpStat'.</dd>
<dt>ylim</dt>
<dd>the y limits of the plot.</dd>
<dt>xaxt</dt>
<dd>a character which specifies the x axis type (see <code><a href="/link/par?package=robcp&version=0.3.8" data-mini-rdoc="robcp::par">par</a></code>).</dd>
<dt>crit.val</dt>
<dd>critical value of the test. Default: 1.358.</dd>
<dt>...</dt>
<dd>other graphical parameters (see <code><a href="/link/par?package=robcp&version=0.3.8" data-mini-rdoc="robcp::par">par</a></code>).</dd></dl>

Arguments

Author

Plot method for change point statistics — plot.cpStat

<dl>

<dt>x</dt>
<dd>object of the class 'cpStat'.</dd>


<dt>ylim</dt>
<dd>the y limits of the plot.</dd>


<dt>xaxt</dt>
<dd>a character which specifies the x axis type (see <code><a href='https://rdrr.io/r/graphics/par.html'>par</a></code>).</dd>


<dt>crit.val</dt>
<dd>critical value of the test. Default: 1.358.</dd>


<dt>...</dt>
<dd>other graphical parameters (see <code><a href='https://rdrr.io/r/graphics/par.html'>par</a></code>).</dd>

</dl>

plot.cpStat: Plot method for change point statistics

Description

Usage

Value

Arguments

Author

Details

See Also