changepointTests (version 0.1.7)

Change Point Tests for Joint Distributions and Copulas

Description

Change point tests for joint distributions and copulas using pseudo-observations with multipliers or bootstrap. The processes used here have been defined in Bucher, Kojadinovic, Rohmer & Segers and Nasri & Remillard .

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Install

install.packages('changepointTests')

Monthly Downloads

183

Version

0.1.7

License

GPL-3

Maintainer

Bruno Remillard

Last Published

September 23rd, 2024

Functions in changepointTests (0.1.7)

cpCopMultStatsBKRSNonSeq

Function to compute the bootstrapped statistics for the BKRS process

test.change.point.copula.BKRS

Function toperform changepoint test for the copula with multiplier bootstrap using for changepoint the new sequential process of Bucher et al (2014)

test.change.point

Function to perform changepoint tests with multiplier bootstrap using the usual sequential process

cpCopStats

Function to compute the statistics for the traditional empirical process

bootstrapfun

Function to perform traditional bootstrap for changepoint

multiplierDSeqfun

Function to perform multiplier bootstrap for changepoint

multiplierfun

Function to perform multiplier bootstrap for changepoint

cpCopStatsBKRS

Function to compute the statistics for the BKRS process

emp.cdf

Function to compute the empirical cdf at given points

multiplierDNonSeqfun

Function to perform multiplier bootstrap for changepoint

cpCopMultStats

Function to compute bootstrapped changepoint statistics

cpCopDStats

Function to compute changepoint statistics

cpCopMultStatsBKRSSeq

Function to compute the statistics for the BKRS process

pseudos

Pseudo-observations