psi_cumsum

Computes the cumulative sum of a transformed numeric vector or matrix. Transformation function is <code>psi</code>.

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

psi_cumsum function

<dl>	<dt>y</dt>
<dd>numeric vector containing a single time series or a numeric matrix containing multiple time series (column-wise).</dd>	<dt>fun</dt>
<dd>character string specifying the transformation function \(\psi\).</dd>	<dt>k</dt>
<dd>numeric bound used in <code>psi</code>.</dd>	<dt>constant</dt>
<dd>scale factor of the MAD. Default is 1.4826.</dd></dl>

Arguments

Author

Cumulative sum of transformed vectors — psi_cumsum

<dl>

	<dt>y</dt>
<dd>numeric vector containing a single time series or a numeric matrix containing multiple time series (column-wise).</dd>

	<dt>fun</dt>
<dd>character string specifying the transformation function \(\psi\).</dd>

	<dt>k</dt>
<dd>numeric bound used in <code>psi</code>.</dd>

	<dt>constant</dt>
<dd>scale factor of the MAD. Default is 1.4826.</dd>

</dl>

psi_cumsum: Cumulative sum of transformed vectors

Description

Usage

Value

Arguments

Author

Details

See Also

Examples